# EDGAR Filing Document

**Accession Number:** 0001401097
**File Stem:** 0001401097-26-000039
**Filing Date:** 2026-5
**Character Count:** 476938
**Document Hash:** 11e9b0a038d019634d4176d7efff08c4
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001401097-26-000039.hdr.sgml**: 20260521

**ACCESSION NUMBER**: 0001401097-26-000039

**CONFORMED SUBMISSION TYPE**: N-CSRS

**PUBLIC DOCUMENT COUNT**: 27

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260521

**DATE AS OF CHANGE**: 20260521

**EFFECTIVENESS DATE**: 20260521

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Central Investment Portfolios II LLC
- **CENTRAL INDEX KEY:** 0001401097

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** N-CSRS
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22083
- **FILM NUMBER:** 261006484

**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

## Series and Classes Contracts Data

### Fidelity Investment Grade Bond Central Fund (Series ID: S000018830)

| Class ID   | Class Name                                  | Ticker Symbol   |
|:---|:---|:---|
| C000052072 | Fidelity Investment Grade Bond Central Fund |  |

### Fidelity Inflation-Protected Bond Index Central Fund (Series ID: S000036933)

| Class ID   | Class Name                                           | Ticker Symbol   |
|:---|:---|:---|
| C000113010 | Fidelity Inflation-Protected Bond Index Central Fund |  |

?xml version='1.0' encoding='ASCII'? Prospectus - Investment Objective

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

**FORM N-CSR**

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED**

**MANAGEMENT INVESTMENT COMPANIES**

Investment Company Act file number <u>811-22083</u>

<u>Fidelity Central Investment Portfolios II LLC</u>

(Exact name of registrant as specified in charter)

<u>245 Summer St., Boston, MA 02210</u>

(Address of principal executive offices) &nbsp;&nbsp;&nbsp;&nbsp; (Zip code)

Nicole Macarchuk, Secretary

245 Summer St.

<u>Boston, Massachusetts 02210</u>

(Name and address of agent for service)

Registrant's telephone number, including area code:

<u>617-563-7000</u>

---

| | |
|:---|:---|
| &nbsp;&nbsp; Date of fiscal year end: | &nbsp;&nbsp; September 30 |
| &nbsp;&nbsp; Date of reporting period: | &nbsp;&nbsp; March 31, 2026 |

---

Item 1.

<u>Reports to Stockholders</u>

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF MARCH 31, 2026 |
| Fidelity® Investment Grade Bond Central Fund<br> **Fidelity® Investment Grade Bond Central Fund true** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Investment Grade Bond Central Fund for the period October 1, 2025 to March 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Investment Grade Bond Central Fund  | $0 A | 0.00%B |

---

A Amount represents less than $.50

B Amount represents less than 0.005%

**Key Fund Statistics**

(as of March 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $43177824325<br>|
| Number of Holdings | 4528<br>|
| Portfolio Turnover | 142%<br>|

---

**What did the Fund invest in?** (as of March 31, 2026)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 64.9 |
| AAA | 6.2 |
| AA | 0.7 |
| A | 7.1 |
| BBB | 14.6 |
| BB | 1.5 |
| B | 0.8 |
| Not Rated | 6.7 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1374_20260331_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 64.9 |
| &nbsp;&nbsp;AAA - 6.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 7.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 14.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 1.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;B - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 6.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (2.5)%  |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 50.2 |
| Corporate Bonds | 21.4 |
| U.S. Government Agency - Mortgage Securities | 14.7 |
| Asset-Backed Securities | 9.2 |
| CMOs and Other Mortgage Related Securities | 6.8 |
| Other Investments | 0.1 |
| Municipal Securities | 0.1 |
| Options | 0.0 |
| Foreign Government and Government Agency Obligations | 0.0 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img1374_20260331_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 50.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 21.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 14.7 |
| Asset-Backed Securities - 9.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 6.8 |
| Other Investments - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Municipal Securities - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) - (2.5)% |

---

---

| | |
|:---|:---|
| United States | 91.5 |
| Grand Cayman (UK Overseas Ter) | 4.6 |
| Bailiwick Of Jersey | 1.0 |
| Mexico | 0.7 |
| Ireland | 0.5 |
| United Kingdom | 0.5 |
| Multi-national | 0.2 |
| Switzerland | 0.2 |
| France | 0.2 |
| Others | 0.6 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1374_20260331_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 91.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Grand Cayman (UK Overseas Ter) - 4.6&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Bailiwick Of Jersey - 1.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Mexico - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;United Kingdom - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Multi-national - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Switzerland - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Others - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 38.8<br>|
| US Treasury Bonds | 11.4<br>|
| Fannie Mae Mortgage pass-thru certificates | 4.1<br>|
| Ginnie Mae II Pool | 3.6<br>|
| Freddie Mac Gold Pool | 3.4<br>|
| Uniform Mortgage Backed Securities | 3.2<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 1.6<br>|
| Morgan Stanley | 1.1<br>|
| JPMorgan Chase & Co | 1.0<br>|
| Bank of America Corp | 0.8<br>|
|  | 69.0 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img1374_20260331_1.jpg)<br>| ![](img129149_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915552.101 1374-TSRS-0526 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF MARCH 31, 2026 |
| Fidelity® Inflation-Protected Bond Index Central Fund<br> **Fidelity® Inflation-Protected Bond Index Central Fund true** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Inflation-Protected Bond Index Central Fund for the period October 1, 2025 to March 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Inflation-Protected Bond Index Central Fund  | $0 A | 0.00%B |

---

A Amount represents less than $.50

B Amount represents less than 0.005%

**Key Fund Statistics**

(as of March 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $788526176<br>|
| Number of Holdings | 32<br>|
| Portfolio Turnover | 25%<br>|

---

**What did the Fund invest in?** (as of March 31, 2026)

---

| | |
|:---|:---|
| **COUPON DISTRIBUTION** <br> **(% of Fund's net assets)** | **COUPON DISTRIBUTION** <br> **(% of Fund's net assets)** |
| 0.01 - 0.99% | 39.7 |
| 1 - 1.99% | 43.8 |
| 2 - 2.99% | 13.6 |
| 3 - 3.99% | 2.4 |

---

U.S. Treasury Obligations 99.5 <br> Short-Term Investments and Net Other Assets (Liabilities) 0.5

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img2398_20260331_AA.jpg) <br>|

---

U.S. Treasury Obligations - 99.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> Short-Term Investments and Net Other Assets (Liabilities) - 0.5 <br>

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 94.3<br>|
| US Treasury Bonds | 5.2<br>|
|  | 99.5 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img2398_20260331_1.jpg)<br>| ![](img129151_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915582.101 2398-TSRS-0526 <br>|

---

Item 2.

<u>Code of Ethics</u>

Not applicable.

Item 3.

<u>Audit Committee Financial Expert</u>

Not applicable.

Item 4.

<u>Principal Accountant Fees and Services</u>

Not applicable.

Item 5.

<u>Audit Committee of Listed Registrants</u>

Not applicable.

Item 6.

<u>Investments</u>

(a) Not applicable.

(b) Not applicable

Item 7.

<u>Financial Statements and Financial Highlights for Open-End Management Investment Companies</u>

**Fidelity® Investment Grade Bond Central Fund**

**Semi-Annual Report**

**March 31, 2026**

![](img129567_1.jpg)

![](img129567_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_TP1-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Investment Grade Bond Central Fund](#Sub_Sec_Fund_1374_TP1-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements1374_TP1-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_TP1-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_TP1-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_TP1-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_TP1-SANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2026 FMR LLC. All rights reserved.

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

**Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)**

**Fidelity® Investment Grade Bond Central Fund**

**Schedule of Investments March 31, 2026 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 9.2%** | &nbsp;&nbsp;**Asset-Backed Securities - 9.2%** | &nbsp;&nbsp;**Asset-Backed Securities - 9.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAILIWICK OF JERSEY - 1.0%  |  |  |
| AIMCO CLO 17 Ltd / AIMCO CLO 17 LLC Series 2024-17A Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.0192% 7/20/2037 (b)(c)(i) | 28099438 | 28108008 |
| AIMCO CLO 19 Ltd / AIMCO CLO 19 LLC Series 2024-19A Class A, CME Term SOFR 3 month Index + 1.35%, 5.0176% 10/20/2037 (b)(c)(i) | 10259000 | 10265278 |
| AIMCO CLO 22 Ltd / AIMCO CLO 22 LLC Series 2024-22A Class A, CME Term SOFR 3 month Index + 1.5%, 5.1676% 4/19/2037 (b)(c)(i) | 55620000 | 55628454 |
| Ares LXX CLO Ltd / Ares LXX CLO LLC Series 2025-70A Class A1R, CME Term SOFR 3 month Index + 1.25%, 4.918% 1/25/2039 (b)(c)(i) | 27474000 | 27430042 |
| Bain Capital Credit CLO Ltd / Bain Capital Credit CLO LLC Series 2025-2A Class A1R, CME Term SOFR 3 month Index + 1.32%, 4.9876% 7/18/2038 (b)(c)(i) | 31507000 | 31535514 |
| Bain Capital Credit CLO Series 2025-4A Class A1R, CME Term SOFR 3 month Index + 1.23%, 4.9597% 1/21/2039 (b)(c)(i) | 32197000 | 32143489 |
| Blueberry Park CLO Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.35%, 5.0176% 10/20/2037 (b)(c)(i) | 32753000 | 32752116 |
| Cedar Funding Series 2024-18A Class A, CME Term SOFR 3 month Index + 1.55%, 5.221% 4/23/2037 (b)(c)(i) | 60600000 | 60599939 |
| Dryden 108 CLO Ltd / Dryden 108 CLO LLC Series 2024-108A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.0276% 7/18/2037 (b)(c)(i) | 51421000 | 51421257 |
| Flatiron CLO 26 Ltd / Flatiron CLO 26 LLC Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.33%, 5.0022% 1/15/2038 (b)(c)(i) | 27814000 | 27827629 |
| Hamlin Park CLO Ltd / Hamlin Park CLO LLC Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.34%, 5.0076% 10/20/2037 (b)(c)(i) | 28343000 | 28360374 |
| Invesco US CLO Ltd Series 2024-3A Class A, CME Term SOFR 3 month Index + 1.51%, 5.1776% 7/20/2037 (b)(c)(i) | 24935000 | 24923530 |
| Ocp CLO Aegis Ltd Series 2026-39A Class AR, CME Term SOFR 3 month Index + 1.09%, 4.7615% 4/16/2038 (b)(c)(i) | 21588000 | 21453075 |
| TOTAL BAILIWICK OF JERSEY |  | 432448705 |
| BERMUDA - 0.0%  |  |  |
| RR Ltd Series 2026-25A Class A1A2, CME Term SOFR 3 month Index + 1.18%, 4.8491% 4/15/2041 (b)(c)(i) | 20499000 | 20487582 |
| CANADA - 0.0%  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (i) | 3338346 | 3359937 |
| Chesapeake Funding II LLC Series 2024-1A Class A1, 5.52% 5/15/2036 (i) | 6152614 | 6214027 |
| TOTAL CANADA |  | 9573964 |
| GRAND CAYMAN (UK OVERSEAS TER) - 4.6%  |  |  |
| AIMCO CLO 11 Ltd Series 2024-11A Class A1R2, CME Term SOFR 3 month Index + 1.34%, 5.0076% 7/17/2037 (b)(c)(i) | 18929000 | 18943026 |
| AIMCO CLO 14 Ltd / AIMCO CLO 14 LLC Series 2025-14A Class A1R, CME Term SOFR 3 month Index + 1.22%, 4.8876% 10/20/2038 (b)(c)(i) | 46919000 | 46872176 |
| AIMCO CLO Series 2024-BA Class ARR, CME Term SOFR 3 month Index + 1.5%, 5.1711% 4/16/2037 (b)(c)(i) | 35255000 | 35255001 |
| AIMCO CLO Series 2026-BA Class AR3, CME Term SOFR 3 month Index + 1.2%, 1.2% 4/16/2037 (b)(c)(i) | 35255000 | 35255000 |
| Allegro CLO Ltd Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.34%, 5.0076% 7/20/2038 (b)(c)(i) | 21007000 | 21019121 |
| Ares LIV CLO Ltd Series 2025-54A Class AR2, CME Term SOFR 3 month Index + 1.31%, 4.9822% 7/15/2038 (b)(c)(i) | 36024000 | 36028611 |
| Ares LV CLO Ltd Series 2024-55A Class A1R2, CME Term SOFR 3 month Index + 1.37%, 5.0422% 10/15/2037 (b)(c)(i) | 19036000 | 19037085 |
| Ares LVIII CLO Ltd / Ares LVIII CLO LLC Series 2025-58A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 4.9122% 4/15/2038 (b)(c)(i) | 28873000 | 28830383 |
| Ares XLI CLO Ltd Series 2021-41A Class AR2, CME Term SOFR 3 month Index + 1.3316%, 5.0038% 4/15/2034 (b)(c)(i) | 29947000 | 29921964 |
| Babson CLO Ltd/Cayman Islands Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.26%, 4.9322% 1/15/2038 (b)(c)(i) | 17946000 | 17937027 |
| Barings CLO Ltd Series 2024-4A Class AR, CME Term SOFR 3 month Index + 1.37%, 5.0376% 10/20/2037 (b)(c)(i) | 28775000 | 28776496 |
| BCRED BSL Static Clo Ltd / LLC Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 4.918% 7/24/2035 (b)(c)(i) | 21206109 | 21197202 |
| Benefit Str Partners CLO XXXIII Ltd / Benefit Str Partners CLO XXXIII LLC Series 2026-33A Class AR, CME Term SOFR 3 month Index + 1.19%, 4.8542% 1/25/2039 (b)(c)(i) | 27357000 | 27297772 |
| Benefit Street Partners CLO 44 Ltd / LLC Series 2025-44A Class A1, CME Term SOFR 3 month Index + 1.22%, 4.944% 1/15/2039 (b)(c)(i) | 27563000 | 27509886 |
| BETHP Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.0638% 1/15/2035 (b)(c)(i) | 22234000 | 22210788 |
| Carlyle US CLO Ltd Series 2024-10A Class A1R, CME Term SOFR 3 month Index + 1.31%, 4.9776% 1/20/2038 (b)(c)(i) | 22613000 | 22614538 |
| Carlyle US CLO Ltd Series 2024-11A Class A1R, CME Term SOFR 3 month Index + 1.41%, 5.078% 7/25/2037 (b)(c)(i) | 38098000 | 38042720 |
| Carlyle US CLO Ltd Series 2025-6A Class A1, CME Term SOFR 3 month Index + 1.22%, 4.8789% 1/20/2039 (b)(c)(i) | 31205000 | 31182595 |
| Cedar Funding Ltd Series 2024-10A Class AR2, CME Term SOFR 3 month Index + 1.36%, 5.0276% 10/20/2037 (b)(c)(i) | 21787000 | 21795301 |
| Cedar Funding XII CLO Ltd / Cedar Funding XII CLO LLC Series 2025-12A Class ARR, CME Term SOFR 3 month Index + 1.2%, 4.868% 1/25/2038 (b)(c)(i) | 26883000 | 26829825 |
| Cedar Funding XVII CLO Ltd Series 2025-17A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.0197% 7/20/2038 (b)(c)(i) | 25314000 | 25336226 |
| CIFC Funding Ltd Series 2025-5A Class A1R2, CME Term SOFR 3 month Index + 1.27%, 4.9422% 10/15/2038 (b)(c)(i) | 27911000 | 27910414 |
| CIFC Funding Ltd Series 2025-6A Class A1, CME Term SOFR 3 month Index + 1.25%, 5.1098% 10/23/2038 (b)(c)(i) | 18542000 | 18538421 |
| Clover CLO Ltd Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1%, 4.6676% 4/18/2035 (b)(c)(i) | 33197000 | 33090736 |
| Dryden CLO Ltd Series 2024-83A Class AR, CME Term SOFR 3 month Index + 1.53%, 5.1976% 4/18/2037 (b)(c)(i) | 31605000 | 31623236 |
| Dryden CLO Ltd Series 2024-85A Class A1R2, CME Term SOFR 3 month Index + 1.38%, 5.0522% 7/15/2037 (b)(c)(i) | 37665000 | 37701610 |
| Dryden Senior Loan Fund Series 2024-78A Class A1R, CME Term SOFR 3 month Index + 1.53%, 5.1976% 4/17/2037 (b)(c)(i) | 12000000 | 12006816 |
| Eaton Vance CLO Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.39%, 5.0622% 10/15/2037 (b)(c)(i) | 29715000 | 29726232 |
| Eaton Vance CLO Ltd Series 2024-2A Class AR2, CME Term SOFR 3 month Index + 1.38%, 5.0522% 10/15/2037 (b)(c)(i) | 32919000 | 32874098 |
| Flat Series 2025-30A Class A1, CME Term SOFR 3 month Index + 1.16%, 4.8322% 4/15/2038 (b)(c)(i) | 28802000 | 28745577 |
| Flatiron CLO 20 Ltd / Flatiron CLO 20 LLC Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 4.8956% 11/20/2038 (b)(c)(i) | 55130000 | 55012023 |
| Flatiron CLO 31 Ltd Series 2025-31A Class A1, CME Term SOFR 3 month Index + 1.2%, 4.8969% 1/18/2039 (b)(c)(i) | 27473000 | 27442258 |
| Flatiron CLO 32 Ltd Series 2025-32A Class A1, CME Term SOFR 3 month Index + 1.29%, 4.9592% 10/22/2038 (b)(c)(i) | 28157000 | 28177724 |
| Flatiron CLO Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.0276% 10/19/2037 (b)(c)(i) | 32703000 | 32704701 |
| Horizon Aircraft Finance Ltd Series 2019-1 Class A, 3.721% 7/15/2039 (i) | 3721719 | 3693664 |
| Invesco US CLO Series 2024-1RA Class AR, CME Term SOFR 3 month Index + 1.55%, 5.2222% 4/15/2037 (b)(c)(i) | 28432000 | 28432000 |
| Lakeside Park CLO Ltd / Lakeside Park CLO LLC Series 2025-1A Class A, CME Term SOFR 3 month Index + 1.15%, 4.8222% 4/15/2038 (b)(c)(i) | 20845000 | 20774085 |
| Madison Park Funding LXVII Ltd / Madison Park Funding LXVI LLC Series 2024-67A Class A1, CME Term SOFR 3 month Index + 1.51%, 5.178% 4/25/2037 (b)(c)(i) | 36634000 | 36635062 |
| Madison Park Funding XLV Ltd / Madison Park Funding XLV LLC Series 2024-45A Class ARR, CME Term SOFR 3 month Index + 1.08%, 4.7522% 7/15/2034 (b)(c)(i) | 27800000 | 27720325 |
| Magnetite CLO Ltd Series 2024-30A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.208% 10/25/2037 (b)(c)(i) | 32900000 | 32922800 |
| Magnetite CLO Ltd Series 2025-36A Class AR, CME Term SOFR 3 month Index + 1.32%, 4.988% 7/25/2038 (b)(c)(i) | 28737000 | 28756311 |
| Magnetite CLO Ltd Series 2025-45A Class A1, CME Term SOFR 3 month Index + 1.15%, 4.8222% 4/15/2038 (b)(c)(i) | 20150000 | 20081873 |
| Magnetite Ltd Series 2024-41A Class A, CME Term SOFR 3 month Index + 1.29%, 4.958% 1/25/2038 (b)(c)(i) | 18369000 | 18386432 |
| Magnetite XXI Ltd Series 2021-21A Class AR, CME Term SOFR 3 month Index + 1.2816%, 4.9492% 4/20/2034 (b)(c)(i) | 25147000 | 25147101 |
| Magnetite XXIX Ltd / Magnetite XXIX LLC Series 2024-29A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.0222% 7/15/2037 (b)(c)(i) | 28521000 | 28543959 |
| Magnetite XXVI Ltd / Magnetite XXVI LLC Series 2025-26A Class AR2, CME Term SOFR 3 month Index + 1.15%, 4.818% 1/25/2038 (b)(c)(i) | 27555000 | 27464206 |
| Magnetite XXVIII Ltd Series 2025-28A Class A1RR, CME Term SOFR 3 month Index + 1.24%, 4.9122% 1/15/2038 (b)(c)(i) | 37187000 | 37145462 |
| Morgan Stanley Eaton Vance CLO Ltd / LLC Series 2025-21A Class A1, CME Term SOFR 3 month Index + 1.17%, 4.8422% 4/15/2038 (b)(c)(i) | 34398000 | 34397312 |
| Neuberger Berman Loan Advisers CLO 25 Ltd Series 2024-25A Class AR2, CME Term SOFR 3 month Index + 1.4%, 5.0676% 7/18/2038 (b)(c)(i) | 28786000 | 28796190 |
| OCP Aegis CLO Ltd Series 2025-47A Class A1, CME Term SOFR 3 month Index + 1.11%, 4.8574% 1/21/2038 (b)(c)(i) | 24882000 | 24789265 |
| OCP Clo Ltd Series 2025-44A Class A, CME Term SOFR 3 month Index + 1.3%, 5.5622% 10/24/2038 (b)(c)(i) | 29697000 | 29714996 |
| OCP CLO Ltd Series 2025-46A Class A, CME Term SOFR 3 month Index + 1.2%, 5.0473% 10/15/2038 (b)(c)(i) | 19380000 | 19307616 |
| OHA Credit Funding 14-R Ltd Series 2025-14RA Class A, CME Term SOFR 3 month Index + 1.23%, 4.8976% 4/20/2038 (b)(c)(i) | 18959000 | 18940401 |
| OHA Credit Funding 4 Ltd / OHA Credit Funding 4 LLC Series 2024-4A Class AR2, CME Term SOFR 3 month Index + 1.29%, 4.9592% 1/22/2038 (b)(c)(i) | 33564000 | 33613809 |
| OHA Credit Funding 6 Ltd Series 2024-6A Class AR2, CME Term SOFR 3 month Index + 1.33%, 4.9976% 10/20/2037 (b)(c)(i) | 26023000 | 26059744 |
| OHA Credit Partners Ltd Series 2024-18A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.1676% 4/20/2037 (b)(c)(i) | 41264000 | 41281867 |
| OHA Credit Partners Ltd Series 2024-18A Class A2, CME Term SOFR 3 month Index + 1.65%, 5.3176% 4/20/2037 (b)(c)(i) | 2187000 | 2180089 |
| OHA Credit Partners VII Ltd Series 2025-7A Class AR4, CME Term SOFR 3 month Index + 1.14%, 4.7956% 2/20/2038 (b)(c)(i) | 26623000 | 26547231 |
| OHA Credit Partners XVII Ltd Series 2024-17A Class A, CME Term SOFR 3 month Index + 1.32%, 4.9876% 1/18/2038 (b)(c)(i) | 11276000 | 11282946 |
| Palmer Square CLO Ltd Series 2026-1A Class A, CME Term SOFR 3 month Index + 1.19%, 4.8604% 4/20/2039 (b)(c)(i) | 24105000 | 24103747 |
| Palmer Square Loan Funding Ltd / Palmer Square Loan Funding LLC Series 2025-2A Class A1, CME Term SOFR 3 month Index + 0.94%, 4.6122% 7/15/2033 (b)(c)(i) | 24967340 | 24950911 |
| Palmer Square Loan Funding Ltd Series 2025-1A Class A1, CME Term SOFR 3 month Index + 0.8%, 4.4525% 2/15/2033 (b)(c)(i) | 25955878 | 25939136 |
| Peebles Park CLO Ltd Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 4.9176% 10/20/2038 (b)(c)(i) | 26956000 | 26915566 |
| Project Silver Series 2019-1 Class A, 3.967% 7/15/2044 (i) | 13323078 | 12963355 |
| RR 34 Ltd Series 2024-34RA Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.0222% 10/15/2039 (b)(c)(i) | 14403000 | 14410605 |
| RR 7 Ltd Series 2022-7A Class A1AB, CME Term SOFR 3 month Index + 1.34%, 5.0122% 1/15/2037 (b)(c)(i) | 38243000 | 38208658 |
| RR Ltd Series 2026-44A Class A1A, CME Term SOFR 3 month Index + 1.17%, 4.8424% 4/15/2041 (b)(c)(i) | 31136000 | 31030698 |
| Sixth Street CLO XIX Ltd Series 2025-19A Class A1R, CME Term SOFR 3 month Index + 1.28%, 4.9476% 7/17/2038 (b)(c)(i) | 18120000 | 18092729 |
| Sixth Street CLO XVIII Ltd Series 2025-18A Class A1R, CME Term SOFR 3 month Index + 1.25%, 4.9176% 10/17/2038 (b)(c)(i) | 27844000 | 27829159 |
| Sixth Street CLO XX Ltd Series 2025-20A Class A1R, CME Term SOFR 3 month Index + 1.32%, 4.9876% 7/17/2038 (b)(c)(i) | 23436000 | 23424399 |
| Symphony CLO 43 Ltd Series 2024-43A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.1922% 4/15/2037 (b)(c)(i) | 25363000 | 25363888 |
| Thunderbolt Aircraft Lease Series 2018-A Class A, 5.96% 9/15/2038 (b)(i) | 2945431 | 2946904 |
| Thunderbolt III Aircraft Lease Ltd Series 2019-1 Class A, 3.671% 11/15/2039 (i) | 10144629 | 10082286 |
| Trapeza CDO XII Ltd Series 2007-12A Class B, CME Term SOFR 3 month Index + 0.8216%, 4.4714% 4/6/2042 (b)(c)(i) | 3641000 | 2896940 |
| Voya CLO Ltd / Voya CLO LLC Series 2025-2A Class A1RR, CME Term SOFR 3 month Index + 1.31%, 4.9776% 1/20/2038 (b)(c)(i) | 10748000 | 10737650 |
| Voya CLO Ltd Series 2024-1A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.1922% 4/15/2037 (b)(c)(i) | 24125000 | 24129246 |
| TOTAL GRAND CAYMAN (UK OVERSEAS TER) |  | 1954087212 |
| IRELAND - 0.0%  |  |  |
| Volofin Finance Designated Activity Co Series 2024-1A Class A, 5.935% 6/15/2037 (i) | 7158060 | 7250231 |
| MULTI-NATIONAL - 0.2%  |  |  |
| AIMCO CLO Ltd / AIMCO CLO LLC Series 2024-21A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.1676% 4/18/2037 (b)(c)(i) | 24647000 | 24647000 |
| Allegro CLO XV Ltd / Allegro CLO VX LLC Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.18%, 4.8476% 4/20/2038 (b)(c)(i) | 25047000 | 24924896 |
| Ares Loan Funding V Ltd / Ares Loan Funding V LLC Series 2024-ALF5A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.168% 7/27/2037 (b)(c)(i) | 32417000 | 32359265 |
| OCP CLO Ltd Series 2025-15A Class AR, CME Term SOFR 3 month Index + 1.25%, 4.9176% 1/20/2038 (b)(c)(i) | 18401000 | 18391910 |
| TOTAL MULTI-NATIONAL |  | 100323071 |
| UNITED STATES - 3.4%  |  |  |
| AASET Ltd / AASET LLC Series 2025-1A Class A, 5.943% 2/16/2050 (i) | 16848871 | 16949158 |
| AASET Trust Series 2021-1A Class A, 2.95% 11/16/2041 (i) | 9880462 | 9528931 |
| AASET Trust Series 2021-2A Class A, 2.798% 1/15/2047 (i) | 32976587 | 31165361 |
| AASET Trust Series 2022-1A Class A, 6% 5/16/2047 (i) | 17511075 | 17783157 |
| AASET US Ltd / AASET Intl Ltd Series 2024-1A Class A1, 6.261% 5/16/2049 (i) | 20232319 | 20499752 |
| AASET US Ltd / AASET Intl Ltd Series 2024-1A Class A2, 6.261% 5/16/2049 (i) | 18492060 | 18743273 |
| ACHV ABS Trust Series 2024-3AL Class A, 5.01% 12/26/2031 (i) | 1734802 | 1744793 |
| Affirm Asset Securitization Trust Series 2024-B Class A, 4.62% 9/15/2029 (i) | 5000000 | 5009508 |
| Affirm Master Trust Series 2025-2A Class A, 4.67% 7/15/2033 (i) | 9100000 | 9126922 |
| Affirm Master Trust Series 2025-3A Class A, 4.45% 10/16/2034 (i) | 10000000 | 9955994 |
| Affirm Master Trust Series 2026-1A Class A, 4.37% 2/15/2034 (i) | 15900000 | 15856600 |
| Affirm Master Trust Series 2026-2A Class A, 4.67% 4/16/2035 (i) | 8660000 | 8659036 |
| Affirm Master Trust Series 2026-2A Class B, 5.07% 4/16/2035 (i) | 1500000 | 1500180 |
| Affirm Master Trust Series 2026-2A Class C, 5.26% 4/16/2035 (i) | 1500000 | 1499925 |
| Ally Auto Receivables Trust Series 2024-1 Class A3, 5.08% 12/15/2028  | 10926524 | 10972530 |
| Altde Trust Series 2025-1A Class A, 5.9% 8/15/2050 (i) | 22774538 | 22910584 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/2040 (i) | 1750396 | 1738527 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class B, 4.335% 1/16/2040 (i) | 376840 | 372133 |
| ARI Fleet Lease Trust Series 2024-B Class A2, 5.54% 4/15/2033 (i) | 3112420 | 3127868 |
| ARI Fleet Lease Trust Series 2025-A Class A2, 4.38% 1/17/2034 (i) | 7170731 | 7179855 |
| AutoNation Finance Trust Series 2025-1A Class A2, 4.72% 4/10/2028 (i) | 4151213 | 4156623 |
| AutoNation Finance Trust Series 2026-1A Class A3, 4.03% 8/12/2030 (i) | 9600000 | 9566456 |
| Avis Budget Rental Car Funding AESOP LLC Series 2024-2A Class A, 5.13% 10/20/2028 (i) | 3449000 | 3479301 |
| BHG Series 2025-2CON Class A, 4.84% 9/17/2036 (i) | 3706188 | 3712260 |
| Blackbird Cap II Aircraft Lease Ltd / Blackbird Cap II Aircraft Lease US LLC Series 2021-1A Class A, 2.443% 7/15/2046 (i) | 23727063 | 22493574 |
| BofA Auto Trust Series 2024-1A Class A3, 5.35% 11/15/2028 (i) | 4614895 | 4645576 |
| CarMax Auto Owner Trust Series 2023-4 Class A3, 6% 7/17/2028  | 9948733 | 10047789 |
| CarMax Select Receivables Trust Series 2024-A Class A2A, 5.78% 9/15/2027  | 148108 | 148190 |
| CarMax Select Receivables Trust Series 2024-A Class A3, 5.4% 11/15/2028  | 4752000 | 4780777 |
| Carmax Select Receivables Trust Series 2026-A Class A2A, 4.03% 12/17/2029  | 3110000 | 3108056 |
| Carmax Select Receivables Trust Series 2026-A Class A3, 3.99% 5/17/2032  | 1035000 | 1027367 |
| Carmax Series 2026-1 Class A3, 4.04% 3/17/2031  | 7800000 | 7772013 |
| Carvana Auto Receivables Trust Series 2025-N1 Class A3, 4.91% 8/10/2029 (i) | 3360000 | 3378410 |
| Castlelake Aircraft Securitization Trust Series 2018-1 Class A, 4.125% 6/15/2043 (i) | 3155320 | 3139603 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class A, 3.967% 4/15/2039 (i) | 4679151 | 4632526 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class B, 5.095% 4/15/2039 (i) | 10307675 | 10179067 |
| Citizens Auto Receivables Trust Series 2024-2 Class A3, 5.33% 8/15/2028 (i) | 5596886 | 5619940 |
| CNSL Series 2026-1A Class A2, 5.079% 3/20/2056 (i) | 5450000 | 5379597 |
| DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/2047 (i) | 35211160 | 34859393 |
| DB Master Finance LLC Series 2021-1A Class A23, 2.791% 11/20/2051 (i) | 11711183 | 10354674 |
| DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/2051 (i) | 11523513 | 11343579 |
| DB Master Finance LLC Series 2025-1A Class A2I, 4.891% 8/20/2055 (i) | 23067188 | 22740067 |
| DB Master Finance LLC Series 2025-1A Class A2II, 5.165% 8/20/2055 (i) | 18708113 | 18428488 |
| Dell Equipment Finance Trust Series 2025-1 Class A2, 4.68% 7/22/2027 (i) | 9629355 | 9644977 |
| Dext ABS LLC Series 2025-2 Class A2, 4.1% 4/17/2028 (i) | 6700000 | 6698816 |
| DLLAA Series 2023-1A Class A3, 5.64% 2/22/2028 (i) | 4536604 | 4575206 |
| DLLAD Series 2023-1A Class A3, 4.79% 1/20/2028 (i) | 3054571 | 3063886 |
| Domino's Pizza Master Issuer LLC Series 2019-1A Class A2, 3.668% 10/25/2049 (i) | 20812800 | 19984301 |
| Eaton Vance CLO Ltd Series 2024-1A Class AR2, CME Term SOFR 3 month Index + 1.51%, 5.1822% 7/15/2037 (b)(c)(i) | 30522000 | 30544006 |
| Eff Series 2026-1 Class A3, 4.12% 3/20/2030 (i) | 6500000 | 6459725 |
| Enterprise Fleet Financing LLC Series 2023-3 Class A2, 6.4% 3/20/2030 (i) | 9396480 | 9480859 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (i) | 1332998 | 1334822 |
| Enterprise Fleet Financing Series 2024-2 Class A3, 5.61% 4/20/2028 (i) | 10500000 | 10619564 |
| Exeter Automobile Receivables Trust Series 2026-1A Class A3, 4.03% 3/15/2030  | 9280000 | 9250033 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A2, 4.83% 10/16/2028  | 1554102 | 1556813 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A3, 4.69% 4/15/2030  | 2590000 | 2601991 |
| Exeter Select Automobile Receivables Trust Series 2025-2 Class A3, 4.43% 8/15/2030  | 2400000 | 2405180 |
| Ggam Master Tr Internationa Ltd / LLC Series 2025-1A Class A, 5.923% 9/30/2060 (i) | 58652642 | 58467194 |
| Gilead Aviation LLC Series 2025-1A Class A, 5.789% 3/15/2050 (i) | 39179963 | 39463708 |
| GMF Floorplan Owner Revolving Trust Series 2024-4A Class A1, 4.73% 11/15/2029 (i) | 23130000 | 23300107 |
| Goldentree Loan Management US CLO Ltd Series 2026-28A Class A, CME Term SOFR 3 month Index + 1.17%, 4.837% 10/20/2039 (b)(c)(i) | 17134000 | 17133160 |
| Green Lakes Park CLO LLC Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1.18%, 4.848% 1/25/2038 (b)(c)(i) | 28775000 | 28672302 |
| Horizon Aircraft Finance I Limited Series 2018-1 Class A, 4.458% 12/15/2038 (i) | 7455241 | 7408974 |
| HPEFS Equipment Trust Series 2024-2A Class A3, 5.36% 10/20/2031 (i) | 4402930 | 4418759 |
| Hyundai Auto Lease Securitization Trust Series 2024-B Class A3, 5.41% 5/17/2027 (i) | 4875652 | 4886762 |
| Jersey Mike's Funding Series 2024-1A Class A2, 5.636% 2/15/2055 (i) | 24448050 | 24722993 |
| Jersey Mike's Funding Series 2025-1A Class A2, 5.61% 8/16/2055 (i) | 17512000 | 17772174 |
| Long Beach Mortgage Loan Trust Series 2003-3 Class M1, CME Term SOFR 1 month Index + 1.2395%, 4.918% 7/25/2033 (b)(c) | 295700 | 295593 |
| Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/2036 (i) | 3318997 | 3325999 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (i) | 9648412 | 9691667 |
| Merchants Fleet Funding LLC Series 2025-1A Class A, 4.49% 1/20/2039 (i) | 11300000 | 11316225 |
| MMAF Equipment Finance LLC Series 2023-A Class A3, 5.54% 12/13/2029 (i) | 5530205 | 5590346 |
| Navigator Aircraft Abs Ltd Series 2025-1 Class A, 5.107% 10/15/2050 (i) | 41671439 | 40829893 |
| Nissan Auto Lease Trust Series 2026-A Class A3, 3.87% 3/15/2029  | 4070000 | 4043633 |
| Nissan Master Owner Trust Receivable Series 2024-B Class A, 5.05% 2/15/2029 (i) | 18500000 | 18626934 |
| OCCU Auto Receivables Trust Series 2025-1A Class A3, 4.81% 11/15/2029 (i) | 2900000 | 2917996 |
| OCP CLO Ltd Series 2025-8RA Class AR2, CME Term SOFR 3 month Index + 1.22%, 4.8876% 10/17/2038 (b)(c)(i) | 27412000 | 27355065 |
| Onemain Financial Issuance Trust Series 2021-1A Class A1, 1.55% 6/16/2036 (i) | 13317000 | 13013791 |
| OneMain Financial Issuance Trust Series 2025-1A Class A, 4.82% 7/14/2038 (i) | 1300000 | 1302553 |
| Oportun Issuance Trust Series 2025-D Class A, 4.53% 2/8/2033 (i) | 9900000 | 9866317 |
| Optn Series 2026-A Class A, 4.32% 1/9/2034 (i) | 9830000 | 9778848 |
| OWN Equipment Fund I LLC Series 2024-2M Class A, 5.7% 12/20/2032 (i) | 3017480 | 3035396 |
| PEAC Solutions Receivables LLC Series 2026-1A Class A2, 4.27% 10/20/2028 (i) | 7740000 | 7729046 |
| PEAC Solutions Receivables LLC Series 2026-1A Class A3, 4.39% 7/20/2033 (i) | 6185000 | 6178633 |
| Phantom Aviation Series 2026-1A Class A, 5.24% 1/15/2051 (i) | 20420655 | 20022313 |
| Pk Alift Loan Funding 3 LP Series 2024-1 Class A1, 5.842% 9/15/2039 (i) | 4489514 | 4565249 |
| Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/2049 (i) | 21568125 | 20538383 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2II, 4.008% 12/5/2051 (i) | 19646400 | 18333637 |
| Planet Fitness Master Issuer LLC Series 2025-1A Class A2I, 5.274% 12/6/2055 (i) | 18965000 | 18956976 |
| PRMI Securitization Trust Series 2024-CMG1 Class A1, U.S. 30-Day Avg. SOFR Index + 1.3%, 5.1186% 7/25/2054 (b)(c)(i) | 7837028 | 7814683 |
| PRPM Trust Series 2023-RCF2 Class A1, 4% 11/25/2053 (b)(i) | 5454402 | 5377163 |
| Reach ABS Trust Series 2025-2A Class A, 4.93% 8/18/2032 (i) | 5776655 | 5799699 |
| RKTL Series 2026-1A Class A, 4.07% 2/26/2035 (i) | 17456655 | 17437060 |
| SBA Tower Trust Series 2020, 2.328% 7/15/2052 (i) | 8041000 | 7751792 |
| SBNA Auto Lease Trust Series 2024-B Class A3, 5.56% 11/22/2027 (i) | 9071555 | 9099655 |
| SBNA Auto Lease Trust Series 2024-C Class A3, 4.56% 2/22/2028 (i) | 9569018 | 9579482 |
| SCLP Series 2025-2 Class A, 4.82% 6/25/2034 (i) | 5938438 | 5957684 |
| SFS Auto Receivables Securitization Trust Series 2024-2A Class A3, 5.33% 11/20/2029 (i) | 8168207 | 8241390 |
| SFS Auto Receivables Securitization Trust Series 2026-1A Class A2A, 3.91% 8/20/2029 (i) | 2800000 | 2793017 |
| SFS Auto Receivables Securitization Trust Series 2026-1A Class A3, 3.96% 7/21/2031 (i) | 3300000 | 3271971 |
| SLAM Ltd Series 2025-1A Class A, 5.807% 5/15/2050 (i) | 18752080 | 18958556 |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/2051 (i) | 9469625 | 8890123 |
| Subway Funding LLC Series 2024-1A Class A23, 6.505% 7/30/2054 (i) | 25870525 | 25898175 |
| Subway Funding LLC Series 2024-1A Class A2I, 6.028% 7/30/2054 (i) | 49620888 | 49941349 |
| Subway Funding LLC Series 2024-1A Class A2II, 6.268% 7/30/2054 (i) | 29499588 | 29754426 |
| Subway Funding LLC Series 2024-3A Class A23, 5.914% 7/30/2054 (i) | 35608263 | 34533997 |
| Subway Funding LLC Series 2024-3A Class A2I, 5.246% 7/30/2054 (i) | 42360788 | 41814270 |
| Subway Funding LLC Series 2024-3A Class A2II, 5.566% 7/30/2054 (i) | 17561700 | 17302918 |
| T-Mobile US Trust Series 2025-1A Class A, 4.74% 11/20/2029 (i) | 500000 | 503739 |
| T-Mobile US Trust Series 2025-2A Class A, 4.34% 4/22/2030 (i) | 1800000 | 1802514 |
| Taco Bell Fdg LLC Series 2025-1A Class A2I, 4.821% 8/25/2055 (i) | 40265000 | 39647005 |
| Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 month Index + 0.9745%, 4.653% 9/25/2034 (b)(c) | 47182 | 50627 |
| VCAT Asset Securitization LLC Series 2026-NPL2 Class A1, 5.062% 2/25/2056 (i)(j) | 5057032 | 5061393 |
| Westlake Automobile Receivables Trust Series 2026-1A Class A3, 4.01% 7/16/2029 (i) | 5500000 | 5488704 |
| Wheels Fleet Lease Funding LLC Series 2024-1A Class A1, 5.49% 2/18/2039 (i) | 7566914 | 7632796 |
| Wheels Fleet Lease Funding LLC Series 2025-2A Class A1, 4.41% 5/18/2040 (i) | 18443000 | 18479466 |
| Wheels Fleet Lease Funding LLC Series 2025-3A Class A1, 4.08% 9/18/2040 (i) | 3900000 | 3878762 |
| Willis Engine Structured Trust Series 2025-A Class A, 5.582% 6/15/2050 (i) | 23022458 | 23300489 |
| Willis Engine Structured Trust VII Series 2023-A Class A, 8% 10/15/2048 (i) | 4527735 | 4631833 |
| Willis Engine Structured Trust VII Series 2025-B Class A, 5.159% 12/15/2050 (i) | 13840728 | 13785170 |
| World Omni Auto Receivables Trust Series 2023-B Class A3, 4.66% 5/15/2028  | 5533393 | 5542782 |
| World Omni Auto Receivables Trust Series 2023-C Class A3, 5.15% 11/15/2028  | 4233097 | 4253043 |
| TOTAL UNITED STATES |  | 1465373951 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $3,995,729,993) |  | <br> **3989544716** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.1%** | &nbsp;&nbsp;**Bank Notes - 0.1%** | &nbsp;&nbsp;**Bank Notes - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Capital One NA USD SOFR Spread-Adj ICE Swap Rate 5Y + 1.73%, 5.974% 8/9/2028 (b)(c) | 23162000 | 23725402 |
| Keybank National Association 6.95% 2/1/2028  | 850000 | 883977 |
| Regions Bank/Birmingham AL 6.45% 6/26/2037  | 30566000 | 32157266 |
| TOTAL UNITED STATES |  | 56766645 |
| <br> **TOTAL BANK NOTES**<br> (Cost $57,964,130) |  | <br> **56766645** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.5%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.5%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 1.5%  |  |  |
| Ajax Mortgage Loan Trust Series 2021-C Class A, 6.115% 1/25/2061 (i) | 1870422 | 1871459 |
| Ajax Mortgage Loan Trust Series 2021-E Class A1, 1.74% 12/25/2060 (i) | 7960286 | 7062685 |
| Angel Oak Mortgage Trust 2026-2 Series 2026-2 Class A1FC, 4.628% 2/25/2071 (b)(i) | 9466386 | 9383510 |
| BINOM Securitization Trust Series 2022-RPL1 Class A1, 3% 2/25/2061 (b)(i) | 11693142 | 10968984 |
| BRAVO Residential Funding Trust Series 2022-RPL1 Class A1, 2.75% 9/25/2061 (i) | 11410677 | 10490786 |
| BRAVO Residential Funding Trust Series 2025-NQM5 Class A1, 5.496% 2/25/2065 (b)(i) | 1920456 | 1926072 |
| BRAVO Residential Funding Trust Series 2026-NQM3 Class A1FC, 4.922% 11/25/2065 (i)(j) | 6801419 | 6772505 |
| CFMT LLC Series 2024-HB13 Class A, 3% 5/25/2034 (b)(i) | 7493432 | 7414846 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (b)(i) | 3839688 | 3827444 |
| Cross 2026-Nqm2 Mtg Tr Series 2026-NQM2 Class A1FC, 4.735% 3/25/2061 (b)(i) | 4161929 | 4131570 |
| Fannie Mae Guaranteed REMIC Series 1999-17 Class PG, 6% 4/25/2029  | 16138 | 16338 |
| Fannie Mae Guaranteed REMIC Series 1999-25 Class Z, 6% 6/25/2029  | 22681 | 22960 |
| Fannie Mae Guaranteed REMIC Series 1999-32 Class PL, 6% 7/25/2029  | 27902 | 28340 |
| Fannie Mae Guaranteed REMIC Series 1999-33 Class PK, 6% 7/25/2029  | 20844 | 21163 |
| Fannie Mae Guaranteed REMIC Series 2001-20 Class Z, 6% 5/25/2031  | 29142 | 29747 |
| Fannie Mae Guaranteed REMIC Series 2001-31 Class ZC, 6.5% 7/25/2031  | 12048 | 12264 |
| Fannie Mae Guaranteed REMIC Series 2001-52 Class YZ, 6.5% 10/25/2031  | 4767 | 4904 |
| Fannie Mae Guaranteed REMIC Series 2002-16 Class ZD, 6.5% 4/25/2032  | 17647 | 18238 |
| Fannie Mae Guaranteed REMIC Series 2002-18 Class FD, U.S. 30-Day Avg. SOFR Index + 0.9145%, 4.5764% 2/25/2032 (b)(c) | 3515 | 3533 |
| Fannie Mae Guaranteed REMIC Series 2002-39 Class FD, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7864% 3/18/2032 (b)(c) | 6445 | 6509 |
| Fannie Mae Guaranteed REMIC Series 2002-60 Class FV, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7764% 4/25/2032 (b)(c) | 6732 | 6794 |
| Fannie Mae Guaranteed REMIC Series 2002-63 Class FN, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7764% 10/25/2032 (b)(c) | 8032 | 8109 |
| Fannie Mae Guaranteed REMIC Series 2002-7 Class FC, U.S. 30-Day Avg. SOFR Index + 0.8645%, 4.5264% 1/25/2032 (b)(c) | 3188 | 3200 |
| Fannie Mae Guaranteed REMIC Series 2002-74 Class SV, 7.4355% - U.S. 30-Day Avg. SOFR Index 3.7736% 11/25/2032 (b)(l) | 4237 | 81 |
| Fannie Mae Guaranteed REMIC Series 2003-118 Class S, 7.9855% - U.S. 30-Day Avg. SOFR Index 4.3236% 12/25/2033 (b)(l) | 146197 | 16565 |
| Fannie Mae Guaranteed REMIC Series 2003-21 Class SK, 7.9855% - U.S. 30-Day Avg. SOFR Index 4.3236% 3/25/2033 (b)(l) | 7915 | 756 |
| Fannie Mae Guaranteed REMIC Series 2005-102 Class CO, 0% 11/25/2035 (m) | 17112 | 14959 |
| Fannie Mae Guaranteed REMIC Series 2005-47 Class SW, 6.6055% - U.S. 30-Day Avg. SOFR Index 2.9436% 6/25/2035 (b)(l) | 170697 | 10357 |
| Fannie Mae Guaranteed REMIC Series 2005-72 Class ZC, 5.5% 8/25/2035  | 553611 | 569613 |
| Fannie Mae Guaranteed REMIC Series 2005-73 Class SA, U.S. 30-Day Avg. SOFR Index + 17.2524%, 7.7314% 8/25/2035 (b)(c) | 3153 | 3281 |
| Fannie Mae Guaranteed REMIC Series 2005-79 Class ZC, 5.9% 9/25/2035  | 357673 | 360093 |
| Fannie Mae Guaranteed REMIC Series 2005-81 Class PC, 5.5% 9/25/2035  | 66072 | 67603 |
| Fannie Mae Guaranteed REMIC Series 2006-104 Class GI, 6.5655% - U.S. 30-Day Avg. SOFR Index 2.9036% 11/25/2036 (b)(l) | 107706 | 8301 |
| Fannie Mae Guaranteed REMIC Series 2006-116 Class SG, 6.5255% - U.S. 30-Day Avg. SOFR Index 2.8636% 12/25/2036 (b)(l) | 62409 | 5699 |
| Fannie Mae Guaranteed REMIC Series 2006-12 Class BO, 0% 10/25/2035 (m) | 77779 | 70453 |
| Fannie Mae Guaranteed REMIC Series 2006-15 Class OP, 0% 3/25/2036 (m) | 138917 | 120847 |
| Fannie Mae Guaranteed REMIC Series 2006-37 Class OW, 0% 5/25/2036 (m) | 15034 | 12588 |
| Fannie Mae Guaranteed REMIC Series 2007-40 Class SE, 6.3255% - U.S. 30-Day Avg. SOFR Index 2.6636% 5/25/2037 (b)(l) | 37983 | 3384 |
| Fannie Mae Guaranteed REMIC Series 2007-57 Class SA, U.S. 30-Day Avg. SOFR Index + 39.9331%, 17.9617% 6/25/2037 (b)(c) | 27649 | 36064 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SA, U.S. 30-Day Avg. SOFR Index + 38.9131%, 16.9417% 7/25/2037 (b)(c) | 41738 | 53864 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SB, U.S. 30-Day Avg. SOFR Index + 38.9131%, 16.9417% 7/25/2037 (b)(c) | 5201 | 5797 |
| Fannie Mae Guaranteed REMIC Series 2010-135 Class ZA, 4.5% 12/25/2040  | 221597 | 216296 |
| Fannie Mae Guaranteed REMIC Series 2010-150 Class ZC, 4.75% 1/25/2041  | 1605650 | 1565737 |
| Fannie Mae Guaranteed REMIC Series 2011-39 Class ZA, 6% 11/25/2032  | 158661 | 163471 |
| Fannie Mae Guaranteed REMIC Series 2011-4 Class PZ, 5% 2/25/2041  | 680177 | 682870 |
| Fannie Mae Guaranteed REMIC Series 2012-100 Class WI, 3% 9/25/2027 (l) | 151077 | 2005 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class DA, 1.75% 1/25/2043  | 141056 | 131438 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class GA, 1.75% 6/25/2042  | 198409 | 186678 |
| Fannie Mae Guaranteed REMIC Series 2012-154 Class F, U.S. 30-Day Avg. SOFR Index + 0.4145%, 4.0764% 1/25/2043 (b)(c) | 505637 | 496546 |
| Fannie Mae Guaranteed REMIC Series 2012-67 Class AI, 4.5% 7/25/2027 (l) | 36 | 0 |
| Fannie Mae Guaranteed REMIC Series 2013-134 Class SA, 5.9355% - U.S. 30-Day Avg. SOFR Index 2.2736% 1/25/2044 (b)(l) | 198732 | 20428 |
| Fannie Mae Guaranteed REMIC Series 2015-42 Class IL, 6% 6/25/2045 (l) | 908680 | 123625 |
| Fannie Mae Guaranteed REMIC Series 2015-70 Class JC, 3% 10/25/2045  | 1079789 | 1032884 |
| Fannie Mae Guaranteed REMIC Series 2017-30 Class AI, 5.5% 5/25/2047 (l) | 539911 | 69091 |
| Fannie Mae Guaranteed REMIC Series 2017-36 Class FB, U.S. 30-Day Avg. SOFR Index + 0.4645%, 4.1264% 5/25/2047 (b)(c) | 1080356 | 1057487 |
| Fannie Mae Guaranteed REMIC Series 2018-32 Class FB, U.S. 30-Day Avg. SOFR Index + 0.4145%, 4.0764% 5/25/2048 (b)(c) | 578460 | 564586 |
| Fannie Mae Guaranteed REMIC Series 2018-38 Class FG, U.S. 30-Day Avg. SOFR Index + 0.4145%, 4.0764% 6/25/2048 (b)(c) | 1391142 | 1353245 |
| Fannie Mae Guaranteed REMIC Series 2019-82 Class PI, 4% 6/25/2049 (l) | 4960912 | 820214 |
| Fannie Mae Guaranteed REMIC Series 2020-35 Class MA, 2% 12/25/2043  | 1295236 | 1241371 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  | 2403914 | 2041643 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  | 2554671 | 2169682 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  | 2093792 | 1866718 |
| Fannie Mae Guaranteed REMIC Series 2021-95 Class BA, 2.5% 6/25/2049  | 9776228 | 8686450 |
| Fannie Mae Guaranteed REMIC Series 2021-95, 2.5% 9/25/2048  | 6429611 | 5758035 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  | 3308630 | 2929791 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  | 3176034 | 2959180 |
| Fannie Mae Guaranteed REMIC Series 2022-11 Class B, 3% 6/25/2049  | 3902667 | 3622869 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class HA, 3% 8/25/2046  | 2876660 | 2735818 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class JA, 3% 5/25/2048  | 2644733 | 2466876 |
| Fannie Mae Guaranteed REMIC Series 2022-15 Class GC, 3% 1/25/2047  | 4161173 | 3949706 |
| Fannie Mae Guaranteed REMIC Series 2022-17 Class BH, 3% 5/25/2047  | 4516016 | 4296094 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class D, 2% 2/25/2048  | 9122763 | 8217892 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  | 25187088 | 22610694 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  | 2394188 | 2129884 |
| Fannie Mae Guaranteed REMIC Series 2022-49 Class TC, 4% 12/25/2048  | 2642600 | 2604457 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class BA, 2.5% 12/25/2049  | 3892176 | 3411595 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class DA, 2.25% 11/25/2047  | 10246136 | 9240030 |
| Fannie Mae Guaranteed REMIC Series 2022-53 Class FG, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4619% 8/25/2052 (b)(c) | 7013012 | 6926128 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FJ, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4619% 9/25/2052 (b)(c) | 14912209 | 14692771 |
| Fannie Mae Guaranteed REMIC Series 2022-64 Class GF, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4619% 10/25/2052 (b)(c) | 4866396 | 4798478 |
| Fannie Mae Guaranteed REMIC Series 2022-67 Class FA, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4619% 10/25/2052 (b)(c) | 17254014 | 17040847 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  | 4489496 | 4184292 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class E, 2.5% 11/25/2047  | 9253828 | 8447126 |
| Fannie Mae Guaranteed REMIC Series 2024-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8619% 9/25/2053 (b)(c) | 4137573 | 4166337 |
| Fannie Mae Guaranteed REMIC Series 2024-90 Class FD, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8619% 12/25/2054 (b)(c) | 14283292 | 14351237 |
| Fannie Mae Guaranteed REMIC Series 2024-93 Class FG, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7619% 12/25/2054 (b)(c) | 3992812 | 4018562 |
| Fannie Mae Mortgage pass-thru certificates Series 1997-41 Class J, 7.5% 6/18/2027  | 1614 | 1631 |
| Fannie Mae Mortgage pass-thru certificates Series 1999-57 Class PH, 6.5% 12/25/2029  | 47274 | 48238 |
| Fannie Mae Mortgage pass-thru certificates Series 2006-45 Class OP, 0% 6/25/2036 (m) | 45556 | 39114 |
| Fannie Mae Mortgage pass-thru certificates Series 2006-62 Class KP, 0% 4/25/2036 (m) | 74092 | 63420 |
| Fannie Mae Mortgage pass-thru certificates Series 2013-51 Class GI, 3% 10/25/2032 (l) | 97409 | 2774 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-56 Class AH, 2% 5/25/2045  | 2400220 | 2270628 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-62 Class GA, 2% 7/25/2044  | 909786 | 858542 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8619% 9/25/2054 (b)(c) | 3487406 | 3502501 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0619% 2/25/2055 (b)(c) | 4475069 | 4505841 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0619% 9/25/2054 (b)(c) | 5231250 | 5264859 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8619% 2/25/2055 (b)(c) | 7841551 | 7888572 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8119% 2/25/2055 (b)(c) | 3642052 | 3661666 |
| Fannie Mae Series 2010-95 Class ZC, 5% 9/25/2040  | 3327104 | 3348925 |
| Fannie Mae Series 2022-28 Class A, 2.5% 2/25/2052  | 10574116 | 10101761 |
| Fannie Mae Series 2022-30 Class E, 4.5% 7/25/2048  | 8698053 | 8596715 |
| Fannie Mae Series 2022-9 Class BA, 3% 5/25/2048  | 2073496 | 1931942 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-339 Class 5, 5.5% 7/25/2033 (l) | 35196 | 4396 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-343 Class 16, 5.5% 5/25/2034 (l) | 33156 | 4158 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-348 Class 14, 6.5% 8/25/2034 (b)(l) | 21868 | 3242 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 12, 5.5% 4/25/2034 (b)(l) | 12713 | 1667 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 13, 6% 3/25/2034 (l) | 20986 | 3079 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2005-359 Class 19, 6% 7/25/2035 (b)(l) | 11515 | 1848 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2007-384 Class 6, 5% 7/25/2037 (l) | 145393 | 22072 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2043 Class ZH, 6% 4/15/2028  | 5652 | 5730 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2056 Class Z, 6% 5/15/2028  | 21750 | 22057 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2014-4386 Class AZ, 4.5% 11/15/2040  | 1709797 | 1678712 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2018-4795 Class FA, U.S. 30-Day Avg. SOFR Index + 0.4145%, 4.0867% 5/15/2048 (b)(c) | 959996 | 935173 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class EA, 2.5% 8/25/2048  | 2654408 | 2368219 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  | 1892322 | 1682058 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5164 Class M, 2.5% 7/25/2048  | 2709704 | 2420281 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2121 Class MG, 6% 2/15/2029  | 10791 | 10986 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2131 Class BG, 6% 3/15/2029  | 83350 | 84928 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2135 Class JE, 6% 3/15/2029  | 3987 | 4066 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2137 Class PG, 6% 3/15/2029  | 11623 | 11820 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2154 Class PT, 6% 5/15/2029  | 22974 | 23400 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2000-2218 Class ZB, 6% 3/15/2030  | 13603 | 13853 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2274 Class ZM, 6.5% 1/15/2031  | 7296 | 7425 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2303 Class ZV, 6% 4/15/2031  | 8972 | 9128 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2357 Class ZB, 6.5% 9/15/2031  | 95829 | 98916 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2412 Class FK, U.S. 30-Day Avg. SOFR Index + 0.9145%, 4.5867% 1/15/2032 (b)(c) | 2804 | 2818 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2423 Class FA, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.6867% 3/15/2032 (b)(c) | 3808 | 3835 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2424 Class FM, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7867% 3/15/2032 (b)(c) | 3669 | 3704 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2432 Class FE, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.6867% 6/15/2031 (b)(c) | 5385 | 5418 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2432 Class FG, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.6867% 3/15/2032 (b)(c) | 1965 | 1979 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2502 Class ZC, 6% 9/15/2032  | 24758 | 25509 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2519 Class ZD, 5.5% 11/15/2032  | 38096 | 38764 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2520 Class BE, 6% 11/15/2032  | 65867 | 67938 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2693 Class MD, 5.5% 10/15/2033  | 155114 | 158040 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2802 Class OB, 6% 5/15/2034  | 31438 | 32229 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2933 Class ZM, 5.75% 2/15/2035  | 779662 | 787553 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2947 Class XZ, 6% 3/15/2035  | 291545 | 301093 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2996 Class ZD, 5.5% 6/15/2035  | 480669 | 483206 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-3002 Class NE, 5% 7/15/2035  | 158756 | 161874 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3115 Class SM, 6.4855% - U.S. 30-Day Avg. SOFR Index 2.8133% 2/15/2036 (b)(l) | 50157 | 4214 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3119 Class PO, 0% 2/15/2036 (m) | 171005 | 142955 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3121 Class KO, 0% 3/15/2036 (m) | 22501 | 20031 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3123 Class LO, 0% 3/15/2036 (m) | 93296 | 79019 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3145 Class GO, 0% 4/15/2036 (m) | 107921 | 91723 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3189 Class PD, 6% 7/15/2036  | 166503 | 173454 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3237 Class C, 5.5% 11/15/2036  | 631846 | 644810 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3244 Class SG, 6.5455% - U.S. 30-Day Avg. SOFR Index 2.8733% 11/15/2036 (b)(l) | 212375 | 17821 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3258 Class PM, 5.5% 12/15/2036  | 44519 | 45631 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3336 Class LI, 6.4655% - U.S. 30-Day Avg. SOFR Index 2.7933% 6/15/2037 (b)(l) | 157503 | 14347 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3366 Class FD, U.S. 30-Day Avg. SOFR Index + 0.3645%, 4.0367% 5/15/2037 (b)(c) | 180325 | 178272 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2008-3415 Class PC, 5% 12/15/2037  | 77342 | 78396 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3832 Class PE, 5% 3/15/2041  | 783916 | 792302 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3949 Class MK, 4.5% 10/15/2034  | 112663 | 112254 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4135 Class AB, 1.75% 6/15/2042  | 156265 | 147458 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2013-4149 Class IO, 3% 1/15/2033 (l) | 67268 | 4017 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2014-4314 Class AI, 5% 3/15/2034 (l) | 9 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4427 Class LI, 3.5% 2/15/2034 (l) | 262321 | 6011 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4471 Class PA, 4% 12/15/2040  | 273707 | 270899 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4683 Class LM, 3% 5/15/2047  | 1297252 | 1254405 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4709 Class FE, U.S. 30-Day Avg. SOFR Index + 0.4645%, 4.1367% 8/15/2047 (b)(c) | 524645 | 513893 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4720 Class IO, 4% 9/15/2047 (l) | 6538119 | 1314675 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-4765 Class IB, 4% 3/15/2048 (l) | 5697996 | 1139100 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5066 Class A, 1.5% 11/25/2044  | 2336731 | 2121181 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5169 Class TP, 2.5% 6/25/2049  | 2693461 | 2385015 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  | 12066303 | 10579236 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  | 2361490 | 2147972 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5182 Class A, 2.5% 10/25/2048  | 16145183 | 14467475 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  | 2551244 | 2263247 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class TP, 2.5% 5/25/2049  | 2453516 | 2177605 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  | 2397602 | 2179438 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class CA, 2.5% 5/25/2049  | 2060798 | 1828469 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  | 2790731 | 2442632 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class A, 2.5% 6/25/2049  | 2060809 | 1828473 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  | 1818035 | 1653979 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  | 8764244 | 8007211 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class AG, 3% 1/25/2049  | 2127932 | 1976356 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class LB, 2.5% 10/25/2047  | 1948082 | 1773940 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class UA, 3% 4/25/2050  | 3261260 | 2974318 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5210 Class TA, 3.5% 11/25/2046  | 2860524 | 2730474 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5236 Class P, 5% 4/25/2048  | 3482477 | 3503598 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5237 Class FP, U.S. 30-Day Avg. SOFR Index + 0.55%, 4.2119% 7/25/2052 (b)(c) | 1423219 | 1400170 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5250 Class FA, U.S. 30-Day Avg. SOFR Index + 0.67%, 4.3319% 8/25/2052 (b)(c) | 3150148 | 3120004 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5254 Class FG, U.S. 30-Day Avg. SOFR Index + 0.75%, 4.4119% 9/25/2052 (b)(c) | 5388943 | 5311975 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5255 Class FA, U.S. 30-Day Avg. SOFR Index + 0.7%, 4.3619% 9/25/2052 (b)(c) | 3375781 | 3328482 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5256 Class FA, U.S. 30-Day Avg. SOFR Index + 0.65%, 4.3119% 9/25/2052 (b)(c) | 2415594 | 2383530 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5266 Class CD, 4.5% 10/25/2044  | 7505324 | 7484007 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5330 Class FA, U.S. 30-Day Avg. SOFR Index + 1.05%, 4.7119% 8/25/2053 (b)(c) | 6855090 | 6871176 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5425 Class FK, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8619% 6/25/2054 (b)(c) | 4653943 | 4680620 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5459 Class FD, U.S. 30-Day Avg. SOFR Index + 1%, 4.6619% 10/25/2054 (b)(c) | 3042084 | 3055908 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5476 Class FB, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7619% 11/25/2054 (b)(c) | 5632408 | 5664543 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8619% 2/25/2055 (b)(c) | 2836267 | 2839076 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FE, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0619% 2/25/2055 (b)(c) | 5851580 | 5895310 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 4.9119% 10/25/2054 (b)(c) | 5333106 | 5362946 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5506 Class FA, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8119% 2/25/2055 (b)(c) | 13077611 | 13115825 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5529 Class CF, U.S. 30-Day Avg. SOFR Index + 1.05%, 4.7119% 4/25/2055 (b)(c) | 6220768 | 6232670 |
| Freddie Mac Non Gold Pool Series 1998-2095 Class PE, 6% 11/15/2028  | 23756 | 24152 |
| Freddie Mac Non Gold Pool Series 1998-2101 Class PD, 6% 11/15/2028  | 2326 | 2364 |
| Freddie Mac Non Gold Pool Series 1999-2162 Class PH, 6% 6/15/2029  | 3784 | 3838 |
| Freddie Mac Non Gold Pool Series 2006-3225 Class EO, 0% 10/15/2036 (m) | 52508 | 43938 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H10 Class FA, CME Term SOFR 1 month Index + 0.4445%, 4.1175% 5/20/2060 (b)(c)(n) | 86078 | 85819 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H19 Class FG, CME Term SOFR 1 month Index + 0.4145%, 4.0833% 8/20/2060 (b)(c)(n) | 46828 | 46665 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H27 Class FA, CME Term SOFR 1 month Index + 0.38%, 4.1633% 12/20/2060 (b)(c)(n) | 157417 | 156283 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H05 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.2833% 12/20/2060 (b)(c)(n) | 122201 | 122183 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H07 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.2833% 2/20/2061 (b)(c)(n) | 135178 | 135157 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H12 Class FA, CME Term SOFR 1 month Index + 0.6045%, 4.2733% 2/20/2061 (b)(c)(n) | 157235 | 157185 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H13 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.2833% 4/20/2061 (b)(c)(n) | 109457 | 109441 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FB, CME Term SOFR 1 month Index + 0.6145%, 4.2833% 5/20/2061 (b)(c)(n) | 146427 | 146404 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FC, CME Term SOFR 1 month Index + 0.6145%, 4.2833% 5/20/2061 (b)(c)(n) | 104805 | 104788 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H17 Class FA, CME Term SOFR 1 month Index + 0.6445%, 4.3133% 6/20/2061 (b)(c)(n) | 117189 | 117220 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H20 Class FA, CME Term SOFR 1 month Index + 0.6645%, 4.3333% 9/20/2061 (b)(c)(n) | 355118 | 355287 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H21 Class FA, CME Term SOFR 1 month Index + 0.7145%, 4.3833% 10/20/2061 (b)(c)(n) | 139019 | 139224 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H01 Class FA, CME Term SOFR 1 month Index + 0.8145%, 4.4833% 11/20/2061 (b)(c)(n) | 136319 | 136603 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H03 Class FA, CME Term SOFR 1 month Index + 0.8145%, 4.4833% 1/20/2062 (b)(c)(n) | 72631 | 72851 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H06 Class FA, CME Term SOFR 1 month Index + 0.7445%, 4.4133% 1/20/2062 (b)(c)(n) | 161924 | 162223 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H07 Class FA, CME Term SOFR 1 month Index + 0.7445%, 4.4133% 3/20/2062 (b)(c)(n) | 112072 | 112216 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H21 Class DF, CME Term SOFR 1 month Index + 0.7645%, 4.4333% 5/20/2061 (b)(c)(n) | 800 | 802 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H23 Class WA, CME Term SOFR 1 month Index + 0.6345%, 4.3033% 10/20/2062 (b)(c)(n) | 3789 | 3790 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H07 Class BA, CME Term SOFR 1 month Index + 0.36%, 4.1433% 3/20/2063 (b)(c)(n) | 5585 | 5572 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H03 Class FA, CME Term SOFR 1 month Index + 0.7145%, 4.3833% 1/20/2064 (b)(c)(n) | 79584 | 79696 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H05 Class FB, CME Term SOFR 1 month Index + 0.7145%, 4.3833% 12/20/2063 (b)(c)(n) | 183535 | 183745 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H11 Class BA, CME Term SOFR 1 month Index + 0.6145%, 4.2833% 6/20/2064 (b)(c)(n) | 96541 | 96527 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class FL, CME Term SOFR 1 month Index + 0.3945%, 4.0633% 5/20/2063 (b)(c)(n) | 4109 | 4090 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class HA, 2.5% 8/20/2064 (n) | 6262 | 5906 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H19 Class FA, CME Term SOFR 1 month Index + 0.3145%, 3.9833% 4/20/2063 (b)(c)(n) | 7871 | 7814 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H13 Class FB, 1 year U.S. Treasury Index + 0.5%, 4% 5/20/2066 (b)(c)(n) | 317447 | 317639 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H20 Class FM, CME Term SOFR 1 month Index + 0.5145%, 4.1833% 12/20/2062 (b)(c)(n) | 14675 | 14614 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-134 Class BA, 2.5% 11/20/2046  | 260123 | 239178 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H06 Class FA, 1 year U.S. Treasury Index + 0.35%, 3.85% 8/20/2066 (b)(c)(n) | 397885 | 397368 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-24 Class ZM, 5% 4/20/2034  | 240016 | 242093 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-32 Class GS, 6.3855% - CME Term SOFR 1 month Index 2.713% 5/16/2034 (b)(l) | 46561 | 2407 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-73 Class AL, 7.0855% - CME Term SOFR 1 month Index 3.413% 8/17/2034 (b)(l) | 49365 | 4446 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-35 Class SC, CME Term SOFR 1 month Index + 39.5131%, 17.4781% 6/16/2037 (b)(c) | 1140 | 1273 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-37 Class TS, 6.5755% - CME Term SOFR 1 month Index 2.903% 6/16/2037 (b)(l) | 91185 | 7243 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-116 Class QB, 4% 9/16/2040  | 172204 | 167921 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-160 Class DY, 4% 12/20/2040  | 2286072 | 2229183 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-170 Class B, 4% 12/20/2040  | 504989 | 492315 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-H03 Class FA, CME Term SOFR 1 month Index + 0.6645%, 4.3375% 3/20/2060 (b)(c)(n) | 301601 | 301761 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-136 Class WI, 4.5% 5/20/2040 (l) | 15132 | 381 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-94 Class SA, 5.9855% - CME Term SOFR 1 month Index 2.3105% 7/20/2041 (b)(l) | 210147 | 19714 |
| Ginnie Mae REMIC pass-thru certificates Series 2012-98 Class FA, CME Term SOFR 1 month Index + 0.5145%, 4.1895% 8/20/2042 (b)(c) | 452182 | 447893 |
| Ginnie Mae REMIC pass-thru certificates Series 2013-149 Class MA, 2.5% 5/20/2040  | 517198 | 512714 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-2 Class BA, 3% 1/20/2044  | 4376887 | 4047822 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-21 Class HA, 3% 2/20/2044  | 1689778 | 1569258 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-25 Class HC, 3% 2/20/2044  | 2841396 | 2603986 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-5 Class A, 3% 1/20/2044  | 2293708 | 2121409 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-69 Class WA, 3% 2/20/2046  | 502991 | 471239 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class BA, 3% 9/20/2047  | 5540919 | 5038463 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-153 Class GA, 3% 9/20/2047  | 2409651 | 2195487 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-182 Class KA, 3% 10/20/2047  | 1942822 | 1776259 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-186 Class HK, 3% 11/16/2045  | 2439998 | 2265893 |
| Ginnie Mae REMIC pass-thru certificates Series 2018-13 Class Q, 3% 4/20/2047  | 2184745 | 2056569 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-128 Class FH, CME Term SOFR 1 month Index + 0.6145%, 4.2895% 10/20/2049 (b)(c) | 1297822 | 1282967 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-23 Class NF, CME Term SOFR 1 month Index + 0.5645%, 4.2395% 2/20/2049 (b)(c) | 2545874 | 2520574 |
| Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.1436% 5/20/2065 (b)(n) | 62231 | 61058 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL2 Class A1, 3.75% 7/25/2061 (i) | 4067929 | 3976910 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL4 Class A1, 3.9% 9/25/2061 (i)(j) | 1016311 | 1004382 |
| J P Morgan Mortgage Trust Series 2026-NQX1 Class A1, 5.5% 7/25/2066 (b)(i) | 5600000 | 5600320 |
| Morgan Stanley Residential Mortgage Loan Trust Series 2026-NQM3 Class A1FC, 5.134% 3/25/2071 (b)(i) | 2500000 | 2494891 |
| New Residential Mortgage Loan Trust Series 2019-1A Class A1B, 3.5% 10/25/2059 (i) | 5930999 | 5553894 |
| New Residential Mortgage Loan Trust Series 2025-NQM7 Class A1FC, 4.949% 10/26/2065 (b)(i) | 4144788 | 4130767 |
| NYMT Loan Trust Series 2021-CP1 Class A1, 2.0424% 7/25/2061 (i) | 8093476 | 7628386 |
| NYMT Loan Trust Series 2024-CP1 Class A1, 3.75% 2/25/2068 (i) | 5030941 | 4744091 |
| NYMT Loan Trust Series 2025-CP1 Class A1, 3.75% 11/25/2069 (i) | 2934403 | 2842603 |
| OBX Trust Series 2025-NQM14 Class A1, 5.162% 7/25/2065 (i)(j) | 2345607 | 2342552 |
| OBX Trust Series 2025-NQM8 Class A1, 5.472% 3/25/2065 (b)(i) | 15860973 | 15903871 |
| Ocwen Loan Investment Trust Series 2023-HB1 Class A, 3% 6/25/2036 (i) | 56499 | 56414 |
| Ocwen Loan Investment Trust Series 2024-HB1 Class A, 3% 2/25/2037 (i) | 996929 | 982934 |
| Ocwen Loan Investment Trust Series 2025-HB2 Class A, 3% 11/25/2038 (b)(i) | 5896093 | 5747685 |
| Onity Loan Investment Trust 2024-Hb2 Series 2024-HB2 Class A, 5% 8/25/2037 (i) | 2183917 | 2180085 |
| Onslow Bay Financial Series 2026-NQM4 Class A1FC, 5.082% 2/25/2066 (b)(i) | 5400000 | 5390867 |
| Preston Ridge Partners Mortgage Series 2025-RCF1 Class A1, 4.845% 1/25/2056 (b)(i) | 6563376 | 6542093 |
| PRET Trust Series 2024-RPL1 Class A1, 3.9% 10/25/2063 (i) | 8466881 | 8104232 |
| PRPM LLC Series 2024-RCF4 Class A1, 4% 7/25/2054 (i) | 2303072 | 2274818 |
| PRPM LLC Series 2024-RPL2 Class A1, 3.5% 5/25/2054 (b)(i) | 9396080 | 9147366 |
| PRPM LLC Series 2026-RCF2 Class A1, 5.5% 3/25/2056 (b)(i) | 6400000 | 6423071 |
| Rco Mortgage LLC Series 2026-1 Class A1, 5.5358% 3/25/2031 (b)(i) | 8400000 | 8373955 |
| RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/2050 (i) | 2563291 | 2413887 |
| Sequoia Mortgage Trust Series 2004-6 Class A3B, CME Term SOFR 6 month Index + 1.3083%, 4.9277% 7/20/2034 (b)(c) | 7538 | 7039 |
| Thornburg Mortgage Securities Trust Series 2003-4 Class A1, CME Term SOFR 1 month Index + 0.7545%, 4.433% 9/25/2043 (b)(c) | 376017 | 365232 |
| Towd Point Mortgage Trust Series 2022-1 Class A1, 3.75% 7/25/2062 (i) | 13731740 | 13135799 |
| Verus Securitization Trust Series 2025-5 Class A1, 5.427% 6/25/2070 (b)(i) | 5170114 | 5184395 |
| Verus Securitization Trust Series 2025-6 Class A1, 5.417% 7/25/2070 (i)(j) | 5973178 | 5989755 |
| Verus Securitization Trust Series 2026-2 Class A1FC, 4.507% 2/25/2071 (i)(j) | 13675767 | 13535739 |
| Verus Securitization Trust Series 2026-R2 Class A1FC, 5.282% 10/25/2067 (i)(j) | 4980000 | 4979612 |
| TOTAL UNITED STATES |  | 652942835 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $655,433,909) |  | <br> **652942835** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 5.3%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 5.3%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 5.3%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 5.3%  |  |  |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 5.4156% 6/15/2040 (b)(c)(i) | 15300000 | 15338250 |
| Ares Commercial Mortgage Trust Series 2026-GCP Class A, CME Term SOFR 1 month Index + 1.25%, 4.9225% 2/15/2043 (b)(c)(i) | 15110000 | 15067483 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (i) | 12613431 | 12232283 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class BNM, 3.465% 11/5/2032 (i) | 2962000 | 2833427 |
| BANK Series 2017-BNK5 Class ASB, 3.179% 6/15/2060  | 3512696 | 3491570 |
| BANK Series 2018-BN10 Class A4, 3.428% 2/15/2061  | 9802942 | 9644704 |
| BANK Series 2019-BN21 Class A5, 2.851% 10/17/2052  | 2858000 | 2693250 |
| BANK Series 2019-BN23 Class ASB, 2.846% 12/15/2052  | 1641172 | 1596342 |
| BANK Series 2020-BN25 Class XB, 0.4361% 1/15/2063 (b)(l) | 31293000 | 505082 |
| BANK Series 2021-BN33 Class XA, 1.0237% 5/15/2064 (b)(l) | 13820607 | 482657 |
| BANK Series 2021-BN34 Class A4, 2.156% 6/15/2063  | 5000000 | 4467931 |
| BANK5 Series 2025-5YR19 Class XB, 0.5998% 12/15/2058 (b)(l) | 17200000 | 477752 |
| BANK5 Series 2026-5YR20 Class A3, 5.104% 2/15/2059  | 7500000 | 7608913 |
| BANK5 Series 2026-5YR21 Class A3, 5.525% 4/15/2059  | 12800000 | 13192829 |
| Barings Issuer LLC Series 2026-SBP Class A, 4.82% 2/26/2059 (i) | 32002231 | 31761059 |
| BBCMS Mortgage Trust Series 2023-C21 Class A3, 6.2961% 9/15/2056 (b) | 17797000 | 18590702 |
| Benchmark Mortgage Trust Series 2018-B4 Class A5, 4.121% 7/15/2051  | 3240000 | 3203995 |
| Benchmark Mortgage Trust Series 2019-B10 Class A4, 3.717% 3/15/2062  | 2700000 | 2626495 |
| Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.7596% 12/15/2062 (b)(l) | 93554392 | 1719436 |
| Benchmark Mortgage Trust Series 2020-B17 Class XA, 1.3749% 3/15/2053 (b)(l) | 89025120 | 3470707 |
| Benchmark Mortgage Trust Series 2020-B18 Class XA, 1.7366% 7/15/2053 (b)(l) | 38919445 | 1996260 |
| Benchmark Mortgage Trust Series 2025-V14 Class A3, 5.1761% 4/15/2057  | 10900000 | 11071012 |
| Benchmark Mortgage Trust Series 2026-V20 Class A3, 5.184% 2/15/2059  | 7600000 | 7736022 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.0147% 3/15/2041 (b)(c)(i) | 14310436 | 14313793 |
| BMO Mortgage Trust Series 2022-C3 Class ASB, 5.3251% 9/15/2054 (b) | 6607000 | 6776257 |
| BMO Mortgage Trust Series 2025-5C13 Class A2, 4.7355% 12/15/2058  | 4600000 | 4594699 |
| BMP Commercial Mortgage Trust Series 2024-MF23 Class A, CME Term SOFR 1 month Index + 1.3719%, 5.0445% 6/15/2041 (b)(c)(i) | 22372000 | 22358018 |
| BMP Commercial Mortgage Trust Series 2024-MF23 Class B, CME Term SOFR 1 month Index + 1.6416%, 5.3141% 6/15/2041 (b)(c)(i) | 11045000 | 11038097 |
| BMP Commercial Mortgage Trust Series 2024-MF23 Class C, CME Term SOFR 1 month Index + 1.8413%, 5.5138% 6/15/2041 (b)(c)(i) | 7810000 | 7807559 |
| BX Commercial Mortgage Trust Series 2019-IMC Class A, CME Term SOFR 1 month Index + 1.0463%, 4.7193% 4/15/2034 (b)(c)(i) | 14082756 | 14012343 |
| BX Commercial Mortgage Trust Series 2019-IMC Class B, CME Term SOFR 1 month Index + 1.3463%, 5.0193% 4/15/2034 (b)(c)(i) | 15742000 | 15623935 |
| BX Commercial Mortgage Trust Series 2019-IMC Class C, CME Term SOFR 1 month Index + 1.6463%, 5.3193% 4/15/2034 (b)(c)(i) | 10407000 | 10315938 |
| BX Commercial Mortgage Trust Series 2019-IMC Class D, CME Term SOFR 1 month Index + 1.9463%, 5.6193% 4/15/2034 (b)(c)(i) | 10925000 | 10815750 |
| BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 4.4766% 10/15/2036 (b)(c)(i) | 49523000 | 49399194 |
| BX Commercial Mortgage Trust Series 2021-PAC Class B, CME Term SOFR 1 month Index + 1.0133%, 4.6863% 10/15/2036 (b)(c)(i) | 5541000 | 5523684 |
| BX Commercial Mortgage Trust Series 2021-PAC Class C, CME Term SOFR 1 month Index + 1.2131%, 4.8861% 10/15/2036 (b)(c)(i) | 7417000 | 7389186 |
| BX Commercial Mortgage Trust Series 2021-PAC Class D, CME Term SOFR 1 month Index + 1.4128%, 5.0858% 10/15/2036 (b)(c)(i) | 7201000 | 7164995 |
| BX Commercial Mortgage Trust Series 2021-PAC Class E, CME Term SOFR 1 month Index + 2.062%, 5.735% 10/15/2036 (b)(c)(i) | 25035000 | 24862884 |
| BX Commercial Mortgage Trust Series 2022-IND Class A, CME Term SOFR 1 month Index + 1.491%, 5.1635% 4/15/2037 (b)(c)(i) | 16197358 | 16197358 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class A, CME Term SOFR 1 month Index + 1.0129%, 4.6854% 2/15/2039 (b)(c)(i) | 2852813 | 2851029 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class B, CME Term SOFR 1 month Index + 1.3123%, 4.9848% 2/15/2039 (b)(c)(i) | 11022200 | 11015311 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class C, CME Term SOFR 1 month Index + 1.5617%, 5.2342% 2/15/2039 (b)(c)(i) | 11022200 | 11015311 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class D, CME Term SOFR 1 month Index + 1.9608%, 5.6333% 2/15/2039 (b)(c)(i) | 11022200 | 11015311 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 4.9653% 12/15/2039 (b)(c)(i) | 8673207 | 8673207 |
| BX Commercial Mortgage Trust Series 2024-MDHS Class A, 5.3138% 5/15/2041 (b)(i) | 34248524 | 34248524 |
| BX Commercial Mortgage Trust Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.0642% 3/15/2041 (b)(c)(i) | 60656660 | 60726142 |
| BX Commercial Mortgage Trust Series 2025-SPOT Class A, CME Term SOFR 1 month Index + 1.4434%, 5.1159% 4/15/2040 (b)(c)(i) | 57177384 | 57186275 |
| BX Commercial Mortgage Trust Series 2026-XL6 Class A, CME Term SOFR 1 month Index + 1.2%, 4.8725% 3/15/2043 (b)(c)(i) | 49593000 | 49469201 |
| BX Commercial Mortgage Trust Series 2026-XL6 Class B, CME Term SOFR 1 month Index + 1.45%, 5.1225% 3/15/2043 (b)(c)(i) | 6714000 | 6663583 |
| BX Trust Series 2021-BXMF Class A, CME Term SOFR 1 month Index + 0.7504%, 4.4234% 10/15/2026 (b)(c)(i) | 11029876 | 11016089 |
| BX Trust Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 4.8375% 2/15/2036 (b)(c)(i) | 7697069 | 7692258 |
| BX Trust Series 2022-IND Class B, CME Term SOFR 1 month Index + 1.94%, 5.6125% 4/15/2037 (b)(c)(i) | 14018200 | 14022581 |
| BX Trust Series 2022-IND Class C, CME Term SOFR 1 month Index + 2.29%, 5.9625% 4/15/2037 (b)(c)(i) | 3163300 | 3165277 |
| BX Trust Series 2022-IND Class D, CME Term SOFR 1 month Index + 2.839%, 6.5115% 4/15/2037 (b)(c)(i) | 2648800 | 2651283 |
| BX Trust Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.1144% 4/15/2041 (b)(c)(i) | 42749896 | 42764179 |
| BX Trust Series 2024-CNYN Class B, CME Term SOFR 1 month Index + 1.6915%, 5.364% 4/15/2041 (b)(c)(i) | 6813062 | 6808804 |
| BX Trust Series 2024-CNYN Class C, CME Term SOFR 1 month Index + 1.9412%, 5.6137% 4/15/2041 (b)(c)(i) | 5656638 | 5653102 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.1145% 2/15/2039 (b)(c)(i) | 31463840 | 31499633 |
| BX Trust Series 2024-XL4 Class B, CME Term SOFR 1 month Index + 1.7915%, 5.4641% 2/15/2039 (b)(c)(i) | 3934379 | 3936837 |
| BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 5.3637% 3/15/2041 (b)(c)(i) | 11232900 | 11232900 |
| BX Trust Series 2024-XL5 Class C, CME Term SOFR 1 month Index + 1.9409%, 5.6134% 3/15/2041 (b)(c)(i) | 14912800 | 14912800 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 4.8225% 2/15/2035 (b)(c)(i) | 30623000 | 30464134 |
| BX Trust Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 4.8163% 3/15/2030 (b)(c)(i) | 89053621 | 88608353 |
| BX Trust Series 2025-ROIC Class B, CME Term SOFR 1 month Index + 1.3935%, 5.066% 3/15/2030 (b)(c)(i) | 12871695 | 12767111 |
| BX Trust Series 2025-ROIC Class C, CME Term SOFR 1 month Index + 1.69%, 5.2158% 3/15/2030 (b)(c)(i) | 16759165 | 16612943 |
| BX Trust Series 2025-TAIL Class A, CME Term SOFR 1 month Index + 1.4%, 5.0725% 6/15/2035 (b)(c)(i) | 10999000 | 10998996 |
| BX Trust Series 2026-ALOHA Class A, 5.05% 4/15/2043 (b)(i) | 36165000 | 36165000 |
| CD Mortgage Trust Series 2017-CD5 Class A3, 3.171% 8/15/2050  | 13831503 | 13607703 |
| Cent Trust Series 2025-CITY Class A, 4.92% 7/10/2040 (b)(i) | 23933000 | 24104714 |
| CF Hippolyta Issuer LLC Series 2020-1 Class A1, 1.69% 7/15/2060 (i) | 63407655 | 53126111 |
| CF Hippolyta Issuer LLC Series 2020-1 Class A2, 1.99% 7/15/2060 (i) | 24360017 | 19811400 |
| CF Hippolyta Issuer LLC Series 2021-1A Class A1, 1.53% 3/15/2061 (i) | 45961222 | 36970035 |
| Citigroup Commercial Mortgage Trust Series 2018-C6 Class A3, 4.145% 11/10/2051  | 1000000 | 990216 |
| Citigroup Commercial Mortgage Trust Series 2019-GC41 Class XA, 1.005% 8/10/2056 (b)(l) | 46876836 | 1279902 |
| Computershare Corporate Trust Series 2018-C48 Class A5, 4.302% 1/15/2052  | 13797000 | 13721839 |
| CSTL Commercial Mortgage Trust Series 2026-GATE3 Class A, 4.6945% 2/10/2043 (b)(i) | 2800000 | 2770120 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class A, 6.038% 1/15/2041 (b)(i) | 7693000 | 7779779 |
| ELP Series 2025-ELP Class A, 4.2969% 11/13/2042 (b)(i) | 18825000 | 18601624 |
| Extended Stay America Trust Series 2025-ESH Class A, CME Term SOFR 1 month Index + 1.3%, 4.9725% 10/15/2042 (b)(c)(i) | 57280000 | 57280001 |
| Extended Stay America Trust Series 2025-ESH Class B, CME Term SOFR 1 month Index + 1.6%, 5.2725% 10/15/2042 (b)(c)(i) | 10025000 | 10037531 |
| Extended Stay America Trust Series 2025-ESH Class C, CME Term SOFR 1 month Index + 1.85%, 5.5225% 10/15/2042 (b)(c)(i) | 4895000 | 4902648 |
| Extended Stay America Trust Series 2026-ESH2 Class A, CME Term SOFR 1 month Index + 1.2%, 4.8725% 2/15/2043 (b)(c)(i) | 50914964 | 50914964 |
| Extended Stay America Trust Series 2026-ESH2 Class B, CME Term SOFR 1 month Index + 1.4%, 5.0725% 2/15/2043 (b)(c)(i) | 5869774 | 5875277 |
| Extended Stay America Trust Series 2026-ESH2 Class C, CME Term SOFR 1 month Index + 1.6%, 5.2725% 2/15/2043 (b)(c)(i) | 3546631 | 3552173 |
| Fannie Mae Guaranteed REMIC Series 2021-M2S Class A2, 1.8073% 10/25/2031 (b) | 700000 | 619310 |
| Fannie Mae Guaranteed REMIC Series 2023-M1S Class A2, 4.4995% 4/25/2033 (b) | 1500000 | 1503811 |
| Fannie Mae Guaranteed REMIC Series 2023-M8 Class A2, 4.4759% 3/25/2033 (b) | 2000000 | 2001173 |
| Fannie Mae Guaranteed REMIC Series 2025-M4 Class A2, 4.389% 8/25/2035  | 8400000 | 8268169 |
| Fannie Mae Mortgage pass-thru certificates Series 2018-M13 Class A2, 3.7544% 9/25/2030 (b) | 1381553 | 1356421 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-M2 Class A2, 4.62% 4/25/2030  | 26000000 | 26271321 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K068 Class A2, 3.244% 8/25/2027  | 6000000 | 5932050 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K069 Class A2, 3.187% 9/25/2027  | 8692076 | 8582442 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K070 Class A2, 3.303% 11/25/2027  | 13300000 | 13138779 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K071 Class A2, 3.286% 11/25/2027  | 18600000 | 18372563 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K073 Class A2, 3.35% 1/25/2028  | 15200000 | 15007737 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K074 Class A2, 3.6% 1/25/2028  | 30890638 | 30602320 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K076 Class A2, 3.9% 4/25/2028  | 6900000 | 6864639 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K081 Class A2, 3.9% 8/25/2028  | 5000000 | 4970357 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K083 Class A2, 4.05% 9/25/2028  | 4200000 | 4188667 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K740 Class A2, 1.47% 9/25/2027  | 13400000 | 12917288 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K135 Class A2, 2.154% 10/25/2031  | 3100000 | 2776051 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K141 Class A2, 2.25% 2/25/2032  | 6100000 | 5453842 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-K753 Class A2, 4.4% 10/25/2030  | 5900000 | 5928945 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-K754 Class A2, 4.94% 11/25/2030  | 2876443 | 2953730 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-K521 Class AS, U.S. 30-Day Avg. SOFR Index + 0.52%, 4.1889% 3/25/2029 (b)(c) | 12454255 | 12421710 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K543 Class A2, 4.329% 6/25/2030 (b) | 6800000 | 6819181 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K544 Class A2, 4.266% 7/25/2030 (b) | 4700000 | 4701493 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K546 Class A2, 4.361% 5/25/2030 (b) | 5700000 | 5718090 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K547 Class A2, 4.421% 5/25/2030  | 16600000 | 16704470 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K548 Class A2, 4.32% 9/25/2030 (b) | 12700000 | 12727926 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K549 Class A2, 4.34% 9/25/2030 (b) | 2000000 | 2006000 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K550 Class A2, 4.163% 10/25/2030 (b) | 25500000 | 25389149 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K551 Class A2, 4.165% 11/25/2030 (b) | 8700000 | 8655909 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K551 Class AS, 4.2189% 10/25/2030 (b) | 16195369 | 16165801 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K552 Class AS, U.S. 30-Day Avg. SOFR Index + 0.54%, 4.2089% 10/25/2030 (b)(c) | 22991018 | 22958127 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K761 Class A2, 4.4% 6/25/2032  | 5700000 | 5701297 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K762 Class A2, 4.36% 9/25/2032  | 12300000 | 12245374 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K553 Class AS, U.S. 30-Day Avg. SOFR Index + 0.54%, 4.2089% 10/25/2030 (b)(c) | 27246384 | 27207692 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K554 Class AS, U.S. 30-Day Avg. SOFR Index + 0.5%, 4.1689% 10/25/2030 (b)(c) | 11997251 | 11980346 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K555 Class AS, U.S. 30-Day Avg. SOFR Index + 0.5%, 4.1689% 11/25/2030 (b)(c) | 24498909 | 24483480 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K556 Class AS, U.S. 30-Day Avg. SOFR Index + 0.49%, 4.1589% 12/25/2030 (b)(c) | 14099843 | 14083405 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K557 Class AS, 4.1689% 12/25/2030  | 19200000 | 19199877 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K558 Class AS, 4.1689% 11/25/2030 (b) | 35400000 | 35399940 |
| GS Mortgage Securities Trust Series 2017-GS6 Class A2, 3.164% 5/10/2050  | 2679224 | 2648255 |
| GS Mortgage Securities Trust Series 2017-GS8 Class AAB, 3.313% 11/10/2050  | 2777945 | 2763203 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A5, 4.155% 7/10/2051  | 4160000 | 4120116 |
| GS Mortgage Securities Trust Series 2018-GS10 Class AAB, 4.106% 7/10/2051  | 616214 | 614233 |
| GS Mortgage Securities Trust Series 2019-GC38 Class A3, 3.703% 2/10/2052  | 1100000 | 1078248 |
| GS Mortgage Securities Trust Series 2020-GC45 Class AAB, 2.8428% 2/13/2053  | 3585283 | 3491228 |
| HAVN Trust Series 2025-MOB Class A, CME Term SOFR 1 month Index + 1.7%, 5.3725% 10/15/2035 (b)(c)(i) | 4800000 | 4770000 |
| Int Commercial Mortgage Trust Series 2025-PLAZA Class A, 4.5536% 11/5/2037 (b)(i) | 16592000 | 16536921 |
| JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class CFX, 4.9498% 7/5/2033 (i) | 3450000 | 2347483 |
| JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class DFX, 5.3503% 7/5/2033 (i)(k) | 5907000 | 3524830 |
| JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-BKWD Class A, CME Term SOFR 1 month Index + 1.6145%, 5.2875% 9/15/2029 (b)(c)(i) | 5526232 | 5360445 |
| JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class A3, 3.3928% 12/15/2049  | 13493316 | 13418544 |
| JPMCC Commercial Mortgage Securities Trust Series 2017-JP6 Class ASB, 3.2829% 7/15/2050  | 590341 | 587001 |
| Life Financial Services Trust Series 2022-BMR2 Class A1, CME Term SOFR 1 month Index + 1.2952%, 4.9678% 5/15/2039 (b)(c)(i) | 57498000 | 55485570 |
| Life Financial Services Trust Series 2022-BMR2 Class B, CME Term SOFR 1 month Index + 1.7939%, 5.4664% 5/15/2039 (b)(c)(i) | 33561000 | 30792218 |
| Life Financial Services Trust Series 2022-BMR2 Class C, CME Term SOFR 1 month Index + 2.0931%, 5.7656% 5/15/2039 (b)(c)(i) | 19262000 | 17143180 |
| Life Financial Services Trust Series 2022-BMR2 Class D, CME Term SOFR 1 month Index + 2.5419%, 6.2144% 5/15/2039 (b)(c)(i) | 17119000 | 14037580 |
| LIFE Mortgage Trust Series 2021-BMR Class C, CME Term SOFR 1 month Index + 1.2145%, 4.8875% 3/15/2038 (b)(c)(i) | 501212 | 496199 |
| LIFE Mortgage Trust Series 2021-BMR Class D, CME Term SOFR 1 month Index + 1.5145%, 5.1875% 3/15/2038 (b)(c)(i) | 4569600 | 4249728 |
| LIFE Mortgage Trust Series 2021-BMR Class E, CME Term SOFR 1 month Index + 1.8645%, 5.5375% 3/15/2038 (b)(c)(i) | 3992100 | 3612851 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class A, CME Term SOFR 1 month Index + 0.8145%, 4.4875% 7/15/2038 (b)(c)(i) | 22147000 | 22133158 |
| MHP Series 2025-MHIL2 Class A, CME Term SOFR 1 month Index + 1.5%, 5.1725% 9/15/2040 (b)(c)(i) | 11300000 | 11249977 |
| Morgan Stanley Capital I Trust Series 2018-H4 Class A4, 4.31% 12/15/2051  | 11843000 | 11659892 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class XA, 1.1417% 6/15/2054 (b)(l) | 43560141 | 1563609 |
| Morgan Stanley Capital I Trust Series 2024-NSTB Class A, 3.9% 9/24/2057 (b)(i) | 16620545 | 16391783 |
| MSWF Commercial Mortgage Trust Series 2023-2 Class XD, 3.0151% 12/15/2056 (b)(i)(l) | 8200000 | 1452614 |
| Plym Commercial Mortgage Trust Series 2026-IND Class A, CME Term SOFR 1 month Index + 1.25%, 4.9225% 3/15/2043 (b)(c)(i) | 53293000 | 53026535 |
| Plym Commercial Mortgage Trust Series 2026-IND Class B, CME Term SOFR 1 month Index + 1.45%, 5.1225% 3/15/2043 (b)(c)(i) | 7997000 | 7937048 |
| Plym Commercial Mortgage Trust Series 2026-IND Class C, CME Term SOFR 1 month Index + 1.65%, 5.3% 3/15/2043 (b)(c)(i) | 8875000 | 8797344 |
| Providence Place Group LP Series 2000-C1 Class A2, 7.75% 7/20/2028 (i) | 240085 | 243902 |
| SCMS Series 2025-BNC1 Class A2, 4.5016% 12/15/2057 (i) | 11900000 | 11845638 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 4.9154% 12/15/2039 (b)(c)(i) | 47856000 | 47781235 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class B, CME Term SOFR 1 month Index + 1.5924%, 5.2649% 12/15/2039 (b)(c)(i) | 8416000 | 8384432 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class C, CME Term SOFR 1 month Index + 1.9919%, 5.6644% 12/15/2039 (b)(c)(i) | 6204000 | 6196246 |
| UBS Commercial Mortgage Trust Series 2017-C6 Class A5, 3.5795% 12/15/2050  | 7045000 | 6908230 |
| UBS Commercial Mortgage Trust Series 2018-C9 Class A4, 4.117% 3/15/2051  | 2800000 | 2757089 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class A, 2.13% 10/10/2042 (i) | 29470000 | 25107739 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class B, 2.453% 10/10/2042 (i) | 1400000 | 1142606 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class X, 0.4294% 10/10/2042 (b)(i) | 40100000 | 660639 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C35 Class A4FL, CME Term SOFR 1 month Index + 1.1645%, 4.8426% 7/15/2048 (b)(c)(i) | 8500000 | 8499654 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C37 Class A4, 3.525% 12/15/2049  | 5393194 | 5365298 |
| Wells Fargo Commercial Mortgage Trust Series 2016-LC25 Class A3, 3.374% 12/15/2059  | 7418045 | 7380284 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class A4, 4.152% 8/15/2051  | 1115000 | 1104685 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class XA, 0.9037% 8/15/2051 (b)(l) | 38477394 | 538526 |
| Wells Fargo Commercial Mortgage Trust Series 2021-FCMT Class A, CME Term SOFR 1 month Index + 1.3145%, 4.9875% 5/15/2031 (b)(c)(i) | 19889000 | 19880356 |
| Wells Fargo Commercial Mortgage Trust Series 2024-5C1 Class A3, 5.928% 7/15/2057  | 8000000 | 8272522 |
| Wells Fargo Commercial Mortgage Trust Series 2026-5C8 Class A3, 5.034% 3/15/2059  | 9100000 | 9189820 |
| TOTAL UNITED STATES |  | 2283991638 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $2,330,355,877) |  | <br> **2283991638** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| COLOMBIA - 0.0%  |  |  |
| Colombian Republic 8% 11/14/2035 <br> (Cost $8,577,221) | 8329000 | **8720879** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Municipal Securities - 0.1%** | &nbsp;&nbsp;**Municipal Securities - 0.1%** | &nbsp;&nbsp;**Municipal Securities - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| New Jersey - 0.1%  |  |  |
| General Obligations - 0.1% |  |  |
| New Jersey Eco Dev Auth St Pen (New Jersey St Proj.) 7.425% 2/15/2029 (National Public Finance Guarantee Corporation Insured) <br>(Cost $26,378,641)<br>| 24047000 | **25221210** |
| <br> **TOTAL MUNICIPAL SECURITIES**<br> (Cost $26,378,641) |  | <br> **25221210** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 21.4%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 21.4%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 21.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Commonwealth Bank of Australia 3.61% 9/12/2034 (b)(i) | 12091000 | 11612614 |
| Westpac Banking Corp 4.11% 7/24/2034 (b) | 17722000 | 17279634 |
| TOTAL AUSTRALIA |  | 28892248 |
| BELGIUM - 0.0%  |  |  |
| Consumer Staples - 0.0% |  |  |
| Beverages - 0.0% |  |  |
| Anheuser-Busch InBev Worldwide Inc 5.45% 1/23/2039  | 23200000 | 23569348 |
| CANADA - 0.1%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| Gildan Activewear Inc 4.7% 10/7/2030 (i) | 3451000 | 3414625 |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Cenovus Energy Inc 4.65% 3/20/2031  | 8440000 | 8381614 |
| Cenovus Energy Inc 5.25% 6/15/2037  | 13846000 | 13382551 |
| Cenovus Energy Inc 5.4% 3/20/2036  | 6496000 | 6462476 |
| Enbridge Inc 4.25% 12/1/2026  | 8321000 | 8316969 |
| TOTAL ENERGY |  | 36543610 |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Emera US Finance LP 3.55% 6/15/2026  | 6732000 | 6716527 |
| TOTAL CANADA |  | 46674762 |
| FRANCE - 0.2%  |  |  |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| BNP Paribas SA 5.786% 1/13/2033 (b)(i) | 41000000 | 42353908 |
| Societe Generale SA 3.337% 1/21/2033 (b)(i) | 17500000 | 15796381 |
| Societe Generale SA 5.5% 4/13/2029 (b)(i) | 27997000 | 28415249 |
| TOTAL FRANCE |  | 86565538 |
| GERMANY - 0.1%  |  |  |
| Financials - 0.0% |  |  |
| Capital Markets - 0.0% |  |  |
| Deutsche Bank AG/New York NY 3.035% 5/28/2032 (b) | 4469000 | 4046598 |
| Deutsche Bank AG/New York NY 6.72% 1/18/2029 (b) | 22570000 | 23383544 |
| TOTAL FINANCIALS |  | 27430142 |
| Industrials - 0.1% |  |  |
| Machinery - 0.1% |  |  |
| Daimler Truck Finance North America LLC 2% 12/14/2026 (i) | 30000000 | 29557199 |
| TOTAL GERMANY |  | 56987341 |
| HONG KONG - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Insurance - 0.1% |  |  |
| AIA Group Ltd 3.2% 9/16/2040 (i) | 15222000 | 11693875 |
| AIA Group Ltd 3.375% 4/7/2030 (i) | 30867000 | 29844291 |
| TOTAL HONG KONG |  | 41538166 |
| IRELAND - 0.5%  |  |  |
| Financials - 0.2% |  |  |
| Consumer Finance - 0.2% |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45% 10/29/2026  | 17295000 | 17104492 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3% 10/29/2028  | 18114000 | 17436255 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.3% 1/30/2032  | 19378000 | 17599599 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.45% 4/15/2027  | 59444000 | 60562961 |
| TOTAL FINANCIALS |  | 112703307 |
| Industrials - 0.3% |  |  |
| Transportation Infrastructure - 0.3% |  |  |
| Avolon Holdings Funding Ltd 4.375% 5/1/2026 (i) | 21306000 | 21304894 |
| Avolon Holdings Funding Ltd 5.15% 1/15/2030 (i) | 2956000 | 2966677 |
| Avolon Holdings Funding Ltd 5.375% 5/30/2030 (i) | 16043000 | 16217924 |
| Avolon Holdings Funding Ltd 5.75% 3/1/2029 (i) | 40000000 | 40904840 |
| Avolon Holdings Funding Ltd 6.375% 5/4/2028 (i) | 37945000 | 39056982 |
| TOTAL INDUSTRIALS |  | 120451317 |
| TOTAL IRELAND |  | 233154624 |
| JAPAN - 0.1%  |  |  |
| Communication Services - 0.1% |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |
| NTT Finance Corp 4.567% 7/16/2027 (i) | 5587000 | 5599718 |
| NTT Finance Corp 4.62% 7/16/2028 (i) | 5650000 | 5671479 |
| NTT Finance Corp 4.876% 7/16/2030 (i) | 14868000 | 14961992 |
| TOTAL JAPAN |  | 26233189 |
| MEXICO - 0.7%  |  |  |
| Energy - 0.7% |  |  |
| Oil, Gas & Consumable Fuels - 0.7% |  |  |
| Petroleos Mexicanos 5.95% 1/28/2031  | 26624000 | 25464525 |
| Petroleos Mexicanos 6.35% 2/12/2048  | 14404000 | 11008256 |
| Petroleos Mexicanos 6.7% 2/16/2032  | 58171000 | 56934866 |
| Petroleos Mexicanos 6.75% 9/21/2047  | 102130000 | 81545699 |
| Petroleos Mexicanos 6.95% 1/28/2060  | 18760000 | 14747236 |
| Petroleos Mexicanos 7.69% 1/23/2050  | 117141000 | 101502677 |
| TOTAL MEXICO |  | 291203259 |
| NETHERLANDS - 0.1%  |  |  |
| Information Technology - 0.1% |  |  |
| Semiconductors & Semiconductor Equipment - 0.1% |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 4.85% 8/19/2032  | 12331000 | 12163539 |
| NXP BV / NXP Funding LLC / NXP USA Inc 5.25% 8/19/2035  | 35555000 | 35447279 |
| TOTAL NETHERLANDS |  | 47610818 |
| QATAR - 0.0%  |  |  |
| Utilities - 0.0% |  |  |
| Gas Utilities - 0.0% |  |  |
| Nakilat Inc 6.067% 12/31/2033 (i) | 5106807 | 5099657 |
| SWITZERLAND - 0.2%  |  |  |
| Financials - 0.2% |  |  |
| Capital Markets - 0.2% |  |  |
| UBS Group AG 1.494% 8/10/2027 (b)(i) | 24731000 | 24464442 |
| UBS Group AG 3.091% 5/14/2032 (b)(i) | 13398000 | 12286985 |
| UBS Group AG 3.869% 1/12/2029 (b)(i) | 9005000 | 8901291 |
| UBS Group AG 4.194% 4/1/2031 (b)(i) | 40079000 | 39213822 |
| UBS Group AG 4.55% 4/17/2026  | 5038000 | 5037951 |
|  |  | 89904491 |
| Insurance - 0.0% |  |  |
| Swiss Re Finance Luxembourg SA 5% 4/2/2049 (b)(i) | 3800000 | 3755398 |
| TOTAL SWITZERLAND |  | 93659889 |
| UNITED KINGDOM - 0.5%  |  |  |
| Financials - 0.5% |  |  |
| Banks - 0.5% |  |  |
| Barclays PLC 2.894% 11/24/2032 (b) | 13572000 | 12126197 |
| Barclays PLC 5.088% 6/20/2030 (b) | 35020000 | 35132823 |
| Barclays PLC 5.2% 5/12/2026  | 11811000 | 11818558 |
| Barclays PLC 5.829% 5/9/2027 (b) | 33090000 | 33125817 |
| Barclays PLC 6.224% 5/9/2034 (b) | 31185000 | 32703785 |
| Barclays PLC 6.692% 9/13/2034 (b) | 45000000 | 48626185 |
| NatWest Group PLC 3.073% 5/22/2028 (b) | 20149000 | 19825309 |
| TOTAL FINANCIALS |  | 193358674 |
| Industrials - 0.0% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| BAE Systems PLC 3.4% 4/15/2030 (i) | 9575000 | 9181328 |
| TOTAL UNITED KINGDOM |  | 202540002 |
| UNITED STATES - 18.7%  |  |  |
| Communication Services - 1.5% |  |  |
| Diversified Telecommunication Services - 0.4% |  |  |
| AT&T Inc 2.55% 12/1/2033  | 53719000 | 45459025 |
| AT&T Inc 3.8% 12/1/2057  | 106127000 | 71664458 |
| AT&T Inc 4.3% 2/15/2030  | 6610000 | 6568071 |
| AT&T Inc 4.4% 4/30/2031  | 6496000 | 6430513 |
| AT&T Inc 4.75% 5/15/2046  | 10000000 | 8402317 |
| Comcast Corp 3.4% 4/1/2030  | 6970000 | 6691478 |
| Comcast Corp 3.75% 4/1/2040  | 2448000 | 1984598 |
| Comcast Corp 3.9% 3/1/2038  | 5001000 | 4294884 |
| Comcast Corp 4.65% 7/15/2042  | 11795000 | 10184531 |
| Comcast Corp 5.168% 1/15/2037 (i) | 6744000 | 6566923 |
| Verizon Communications Inc 4.78% 2/15/2035  | 5482000 | 5305972 |
|  |  | 173552770 |
| Entertainment - 0.0% |  |  |
| NBCUniversal Media LLC 5.95% 4/1/2041  | 6541000 | 6550326 |
| Walt Disney Co/The 3.6% 1/13/2051  | 25350000 | 18349126 |
|  |  | 24899452 |
| Media - 0.8% |  |  |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.3% 2/1/2032  | 5005000 | 4292181 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.4% 12/1/2061  | 51000000 | 32755941 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.4% 4/1/2033  | 9755000 | 9119950 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.05% 3/30/2029  | 10610000 | 10663650 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.25% 4/1/2053  | 11329000 | 8884167 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 5/1/2047  | 83513000 | 67201932 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.5% 4/1/2063  | 11421000 | 8820704 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.75% 4/1/2048  | 11687000 | 9746955 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.1% 6/1/2029  | 20760000 | 21504271 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.484% 10/23/2045  | 24519000 | 22605661 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.55% 6/1/2034  | 16400000 | 17025724 |
| Time Warner Cable LLC 4.5% 9/15/2042  | 22976000 | 17253784 |
| Time Warner Cable LLC 5.5% 9/1/2041  | 8397000 | 7236968 |
| Time Warner Cable LLC 5.875% 11/15/2040  | 7566000 | 6856581 |
| Time Warner Cable LLC 6.55% 5/1/2037  | 73937000 | 74542977 |
| Time Warner Cable LLC 6.75% 6/15/2039  | 7400000 | 7342805 |
| Time Warner Cable LLC 7.3% 7/1/2038  | 22049000 | 23071528 |
|  |  | 348925779 |
| Wireless Telecommunication Services - 0.3% |  |  |
| T-Mobile USA Inc 2.25% 11/15/2031  | 40000000 | 35154485 |
| T-Mobile USA Inc 3.75% 4/15/2027  | 25540000 | 25381902 |
| T-Mobile USA Inc 3.875% 4/15/2030  | 36970000 | 36004009 |
| T-Mobile USA Inc 4.375% 4/15/2040  | 5513000 | 4845991 |
| T-Mobile USA Inc 4.5% 4/15/2050  | 10830000 | 8744283 |
|  |  | 110130670 |
| TOTAL COMMUNICATION SERVICES |  | 657508671 |
| Consumer Discretionary - 0.4% |  |  |
| Automobiles - 0.1% |  |  |
| General Motors Financial Co Inc 2.35% 2/26/2027  | 17500000 | 17164739 |
| General Motors Financial Co Inc 5.85% 4/6/2030  | 13062000 | 13519620 |
|  |  | 30684359 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| McDonald's Corp 3.5% 7/1/2027  | 7113000 | 7049560 |
| McDonald's Corp 3.6% 7/1/2030  | 8445000 | 8205366 |
| McDonald's Corp 4.2% 4/1/2050  | 4263000 | 3359892 |
|  |  | 18614818 |
| Household Durables - 0.0% |  |  |
| Toll Brothers Finance Corp 4.875% 3/15/2027  | 16319000 | 16343711 |
| Specialty Retail - 0.3% |  |  |
| AutoNation Inc 3.85% 3/1/2032  | 21966000 | 20424072 |
| AutoNation Inc 4.75% 6/1/2030  | 3310000 | 3286477 |
| AutoZone Inc 4% 4/15/2030  | 22128000 | 21595259 |
| Home Depot Inc/The 2.5% 4/15/2027  | 3139000 | 3089621 |
| Lowe's Cos Inc 3.35% 4/1/2027  | 3072000 | 3047825 |
| Lowe's Cos Inc 3.75% 4/1/2032  | 9454000 | 8945822 |
| Lowe's Cos Inc 4.5% 4/15/2030  | 16112000 | 16124429 |
| O'Reilly Automotive Inc 4.2% 4/1/2030  | 4968000 | 4907767 |
| O'Reilly Automotive Inc 5.1% 3/12/2036  | 12832000 | 12664032 |
|  |  | 94085304 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| NIKE Inc 2.75% 3/27/2027  | 6632000 | 6547633 |
| TOTAL CONSUMER DISCRETIONARY |  | 166275825 |
| Consumer Staples - 0.4% |  |  |
| Beverages - 0.1% |  |  |
| Molson Coors Beverage Co 3% 7/15/2026  | 48345000 | 48159738 |
| Consumer Staples Distribution & Retail - 0.2% |  |  |
| Mars Inc 4.8% 3/1/2030 (i) | 28803000 | 29106125 |
| Mars Inc 5% 3/1/2032 (i) | 21623000 | 21879753 |
| Mars Inc 5.2% 3/1/2035 (i) | 17973000 | 18144116 |
| Sysco Corp 3.25% 7/15/2027  | 11011000 | 10843218 |
|  |  | 79973212 |
| Food Products - 0.1% |  |  |
| Archer-Daniels-Midland Co 3.25% 3/27/2030  | 6931000 | 6643860 |
| General Mills Inc 2.875% 4/15/2030  | 3013000 | 2810613 |
| JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings 3% 5/15/2032  | 14377000 | 12775944 |
|  |  | 22230417 |
| Household Products - 0.0% |  |  |
| Kimberly-Clark Corp 3.1% 3/26/2030  | 1764000 | 1681840 |
| TOTAL CONSUMER STAPLES |  | 152045207 |
| Energy - 1.7% |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| Halliburton Co 4.85% 11/15/2035  | 7402000 | 7198297 |
| Oil, Gas & Consumable Fuels - 1.7% |  |  |
| Columbia Pipelines Operating Co LLC 5.927% 8/15/2030 (i) | 5327000 | 5575799 |
| Columbia Pipelines Operating Co LLC 6.036% 11/15/2033 (i) | 14358000 | 15128527 |
| Columbia Pipelines Operating Co LLC 6.497% 8/15/2043 (i) | 4293000 | 4482383 |
| Columbia Pipelines Operating Co LLC 6.544% 11/15/2053 (i) | 7728000 | 8106948 |
| Columbia Pipelines Operating Co LLC 6.714% 8/15/2063 (i) | 4626000 | 4975233 |
| DCP Midstream Operating LP 5.125% 5/15/2029  | 15661000 | 15935862 |
| DCP Midstream Operating LP 5.6% 4/1/2044  | 13506000 | 12853003 |
| DCP Midstream Operating LP 6.45% 11/3/2036 (i) | 10621000 | 11246259 |
| Energy Transfer LP 3.75% 5/15/2030  | 27891000 | 26961045 |
| Energy Transfer LP 4.95% 6/15/2028  | 18799000 | 18988841 |
| Energy Transfer LP 5% 5/15/2050  | 6115000 | 5074694 |
| Energy Transfer LP 5.25% 4/15/2029  | 10158000 | 10345924 |
| Energy Transfer LP 5.25% 7/1/2029  | 11564000 | 11816904 |
| Energy Transfer LP 5.6% 9/1/2034  | 20000000 | 20383294 |
| Energy Transfer LP 5.8% 6/15/2038  | 10481000 | 10594660 |
| Hess Corp 4.3% 4/1/2027  | 23059000 | 23072381 |
| Hess Corp 7.125% 3/15/2033  | 4791000 | 5458114 |
| Hess Corp 7.3% 8/15/2031  | 6610000 | 7469874 |
| Hess Corp 7.875% 10/1/2029  | 20178000 | 22538494 |
| Kinder Morgan Energy Partners LP 6.55% 9/15/2040  | 1645000 | 1760447 |
| MPLX LP 2.65% 8/15/2030  | 9000000 | 8295558 |
| MPLX LP 4.8% 2/15/2029  | 5370000 | 5414702 |
| MPLX LP 4.95% 9/1/2032  | 30925000 | 30784812 |
| MPLX LP 5.5% 2/15/2049  | 16108000 | 14558885 |
| Occidental Petroleum Corp 5.55% 10/1/2034  | 27742000 | 28212532 |
| Occidental Petroleum Corp 6.2% 3/15/2040  | 7169000 | 7321943 |
| Occidental Petroleum Corp 6.45% 9/15/2036  | 15883000 | 16970970 |
| Occidental Petroleum Corp 6.6% 3/15/2046  | 28439000 | 29456946 |
| Occidental Petroleum Corp 7.5% 5/1/2031  | 29749000 | 33111172 |
| ONEOK Inc 4.25% 9/24/2027  | 10175000 | 10148617 |
| ONEOK Inc 4.4% 10/15/2029  | 10640000 | 10569776 |
| ONEOK Inc 4.75% 10/15/2031  | 20697000 | 20477138 |
| Ovintiv Inc 5.15% 11/15/2041  | 5000000 | 4253086 |
| Ovintiv Inc 8.125% 9/15/2030  | 13383000 | 15054278 |
| Plains All American Pipeline LP / PAA Finance Corp 3.55% 12/15/2029  | 5964000 | 5771312 |
| Plains All American Pipeline LP / PAA Finance Corp 3.8% 9/15/2030  | 15976000 | 15394000 |
| Sabine Pass Liquefaction LLC 4.5% 5/15/2030  | 33855000 | 33609201 |
| Shell Finance US Inc 4.375% 5/11/2045  | 6392000 | 5435152 |
| Targa Resources Corp 4% 4/15/2031  | 12653000 | 12386760 |
| Targa Resources Corp 4.35% 1/15/2029  | 10769000 | 10723893 |
| Targa Resources Corp 4.9% 9/15/2030  | 14983000 | 15109590 |
| Targa Resources Corp 5.65% 2/15/2036  | 36079000 | 36609148 |
| Western Gas Partners LP 4.5% 3/1/2028  | 3100000 | 3098129 |
| Western Gas Partners LP 4.65% 7/1/2026  | 9376000 | 9376000 |
| Western Gas Partners LP 4.75% 8/15/2028  | 5504000 | 5520246 |
| Western Gas Partners LP 6.35% 1/15/2029  | 13343000 | 13894486 |
| Williams Cos Inc/The 2.6% 3/15/2031  | 5542000 | 5016804 |
| Williams Cos Inc/The 3.5% 11/15/2030  | 45537000 | 43276425 |
| Williams Cos Inc/The 4.65% 8/15/2032  | 32200000 | 31815763 |
| Williams Cos Inc/The 5.3% 8/15/2052  | 7294000 | 6562178 |
|  |  | 730998188 |
| TOTAL ENERGY |  | 738196485 |
| Financials - 8.1% |  |  |
| Banks - 3.3% |  |  |
| Bank of America Corp 2.299% 7/21/2032 (b) | 80000000 | 70618754 |
| Bank of America Corp 2.972% 2/4/2033 (b) | 17500000 | 15841229 |
| Bank of America Corp 3.419% 12/20/2028 (b) | 23187000 | 22778248 |
| Bank of America Corp 3.705% 4/24/2028 (b) | 58915000 | 58466329 |
| Bank of America Corp 4.183% 11/25/2027  | 22749000 | 22671302 |
| Bank of America Corp 4.25% 10/22/2026  | 20189000 | 20178651 |
| Bank of America Corp 4.271% 7/23/2029 (b) | 2000000 | 1991847 |
| Bank of America Corp 4.376% 4/27/2028 (b) | 40000000 | 39970567 |
| Bank of America Corp 5.015% 7/22/2033 (b) | 50000000 | 50295351 |
| Bank of America Corp 5.468% 1/23/2035 (b) | 50000000 | 51039934 |
| Citigroup Inc 3.785% 3/17/2033 (b) | 17500000 | 16415946 |
| Citigroup Inc 4.3% 11/20/2026  | 52072000 | 52080697 |
| Citigroup Inc 4.412% 3/31/2031 (b) | 45100000 | 44584472 |
| Citigroup Inc 4.45% 9/29/2027  | 69500000 | 69501965 |
| Citigroup Inc 4.91% 5/24/2033 (b) | 47460000 | 47245137 |
| Citigroup Inc 6.174% 5/25/2034 (b) | 21587000 | 22345101 |
| Citizens Financial Group Inc 2.638% 9/30/2032  | 35537000 | 30342758 |
| Citizens Financial Group Inc 6.645% 4/25/2035 (b) | 12127000 | 12997262 |
| JPMorgan Chase & Co 2.956% 5/13/2031 (b) | 18323000 | 17072888 |
| JPMorgan Chase & Co 2.963% 1/25/2033 (b) | 17500000 | 15876396 |
| JPMorgan Chase & Co 4.203% 7/23/2029 (b) | 3000000 | 2982753 |
| JPMorgan Chase & Co 4.452% 12/5/2029 (b) | 46000000 | 46054990 |
| JPMorgan Chase & Co 4.586% 4/26/2033 (b) | 70000000 | 69067402 |
| JPMorgan Chase & Co 4.898% 1/22/2037 (b) | 2621000 | 2564674 |
| JPMorgan Chase & Co 5.103% 4/22/2031 (b) | 29723000 | 30262681 |
| JPMorgan Chase & Co 5.299% 7/24/2029 (b) | 15000000 | 15279945 |
| JPMorgan Chase & Co 5.336% 1/23/2035 (b) | 50000000 | 50767400 |
| JPMorgan Chase & Co 5.35% 6/1/2034 (b) | 60000000 | 61217067 |
| JPMorgan Chase & Co 5.572% 4/22/2036 (b) | 35305000 | 36381233 |
| JPMorgan Chase & Co 5.717% 9/14/2033 (b) | 72579000 | 75146067 |
| Santander Holdings USA Inc 2.49% 1/6/2028 (b) | 25589000 | 25155556 |
| Santander Holdings USA Inc 6.499% 3/9/2029 (b) | 35670000 | 36782505 |
| Synchrony Bank 5.625% 8/23/2027  | 26739000 | 27033697 |
| Wells Fargo & Co 3.526% 3/24/2028 (b) | 42125000 | 41777486 |
| Wells Fargo & Co 4.478% 4/4/2031 (b) | 60800000 | 60274725 |
| Wells Fargo & Co 5.15% 4/23/2031 (b) | 80251000 | 81622162 |
| Wells Fargo & Co 5.389% 4/24/2034 (b) | 30000000 | 30449285 |
| Wells Fargo & Co 5.605% 4/23/2036 (b) | 35549000 | 36378273 |
|  |  | 1411512735 |
| Capital Markets - 2.6% |  |  |
| Ares Strategic Income Fund 5.45% 9/9/2028 (i) | 24383000 | 24129257 |
| Ares Strategic Income Fund 5.55% 4/15/2031 (i) | 40000000 | 38319090 |
| Ares Strategic Income Fund 5.8% 9/9/2030 (i) | 19729000 | 19184234 |
| Athene Global Funding 5.339% 1/15/2027 (i) | 56732000 | 57075976 |
| Athene Global Funding 5.583% 1/9/2029 (i) | 36667000 | 37004134 |
| Athene Global Funding U.S. SOFR Index + 0.95%, 4.5793% 4/19/2027 (b)(c)(i) | 42730000 | 42736385 |
| Blackstone Private Credit Fund 2.625% 12/15/2026  | 30000000 | 29350798 |
| Blackstone Private Credit Fund 7.3% 11/27/2028  | 42550000 | 43420745 |
| Goldman Sachs Group Inc/The 2.383% 7/21/2032 (b) | 39755000 | 35094668 |
| Goldman Sachs Group Inc/The 3.102% 2/24/2033 (b) | 47500000 | 42899572 |
| Goldman Sachs Group Inc/The 3.691% 6/5/2028 (b) | 21000000 | 20814301 |
| Goldman Sachs Group Inc/The 3.8% 3/15/2030  | 67720000 | 65809700 |
| Goldman Sachs Group Inc/The 4.411% 4/23/2039 (b) | 3000000 | 2686737 |
| Goldman Sachs Group Inc/The 5.15% 5/22/2045  | 9000000 | 8048688 |
| Goldman Sachs Group Inc/The 6.75% 10/1/2037  | 30816000 | 33240465 |
| HPS Corporate Lending Fund 5.45% 1/14/2028  | 77521000 | 76933360 |
| Moody's Corp 3.25% 1/15/2028  | 10681000 | 10480010 |
| Moody's Corp 3.25% 5/20/2050  | 9704000 | 6395395 |
| Morgan Stanley 2.943% 1/21/2033 (b) | 17500000 | 15734917 |
| Morgan Stanley 3.622% 4/1/2031 (b) | 41803000 | 40085137 |
| Morgan Stanley 4.21% 4/20/2028 (b) | 40000000 | 39890108 |
| Morgan Stanley 4.431% 1/23/2030 (b) | 54318000 | 54073467 |
| Morgan Stanley 4.493% 1/16/2032 (b) | 34677000 | 34094021 |
| Morgan Stanley 5.192% 4/17/2031 (b) | 26943000 | 27344263 |
| Morgan Stanley 5.25% 4/21/2034 (b) | 50000000 | 50156127 |
| Morgan Stanley 5.424% 7/21/2034 (b) | 47424000 | 48119202 |
| Morgan Stanley 5.664% 4/17/2036 (b) | 21369000 | 21887462 |
| Morgan Stanley 6.342% 10/18/2033 (b) | 58000000 | 62058482 |
| Morgan Stanley 6.627% 11/1/2034 (b) | 50000000 | 54406502 |
| MSCI Inc 5.15% 3/15/2036  | 8619000 | 8348206 |
| MSCI Inc 5.25% 9/1/2035  | 42087000 | 41226586 |
| Sixth Street Specialty Lending Inc 6.125% 3/1/2029  | 15343000 | 15470502 |
|  |  | 1106518497 |
| Consumer Finance - 0.8% |  |  |
| Ally Financial Inc 4.75% 6/9/2027  | 60000000 | 60113519 |
| Ally Financial Inc 7.1% 11/15/2027  | 37620000 | 39037692 |
| Capital One Financial Corp 3.273% 3/1/2030 (b) | 32130000 | 30938185 |
| Capital One Financial Corp 3.65% 5/11/2027  | 57194000 | 56716031 |
| Capital One Financial Corp 4.1% 2/9/2027  | 5722000 | 5708524 |
| Capital One Financial Corp 5.247% 7/26/2030 (b) | 40470000 | 41017205 |
| Capital One Financial Corp 5.468% 2/1/2029 (b) | 26778000 | 27182363 |
| Ford Motor Credit Co LLC 4.97% 4/6/2029  | 8515000 | 8409946 |
| Ford Motor Credit Co LLC 5.73% 9/5/2030  | 40000000 | 39959635 |
| Synchrony Financial 3.95% 12/1/2027  | 30327000 | 29951897 |
| Toyota Motor Credit Corp 3.375% 4/1/2030  | 9583000 | 9205381 |
|  |  | 348240378 |
| Financial Services - 0.6% |  |  |
| Corebridge Financial Inc 3.65% 4/5/2027  | 33012000 | 32712666 |
| Corebridge Financial Inc 3.85% 4/5/2029  | 13061000 | 12750589 |
| Corebridge Financial Inc 3.9% 4/5/2032  | 31447000 | 29490865 |
| Corebridge Financial Inc 4.35% 4/5/2042  | 3537000 | 2906809 |
| Corebridge Financial Inc 6.05% 9/15/2033  | 10459000 | 10933316 |
| Equitable Holdings Inc 4.572% 2/15/2029 (i) | 7172000 | 7125632 |
| Jackson Financial Inc 3.125% 11/23/2031  | 5636000 | 5014177 |
| Jackson Financial Inc 5.17% 6/8/2027  | 14655000 | 14755635 |
| Jackson Financial Inc 5.67% 6/8/2032  | 27163000 | 27251375 |
| Mastercard Inc 3.3% 3/26/2027  | 3028000 | 3005410 |
| Mastercard Inc 3.35% 3/26/2030  | 4213000 | 4074090 |
| Pine Street Trust II 5.568% 2/15/2049 (i) | 29500000 | 26795765 |
| Sixth Street Lending Partners 6.125% 7/15/2030  | 26655000 | 26498834 |
| Takeoff Merger Sub Inc 4.4% 3/24/2028 (i) | 16102000 | 16015643 |
| Takeoff Merger Sub Inc 4.5% 3/24/2029 (i) | 15942000 | 15839401 |
| Takeoff Merger Sub Inc 4.85% 3/24/2031 (i) | 19987000 | 19737057 |
|  |  | 254907264 |
| Insurance - 0.8% |  |  |
| AFLAC Inc 3.6% 4/1/2030  | 9937000 | 9631698 |
| Five Corners Funding Trust II 2.85% 5/15/2030 (i) | 48444000 | 45127618 |
| Grand River Funding Trust I 6.311% 2/15/2036 (i) | 33234000 | 33527647 |
| Hartford Insurance Group Inc/The 2.8% 8/19/2029  | 7704000 | 7295045 |
| Liberty Mutual Group Inc 3.951% 10/15/2050 (i) | 4626000 | 3357519 |
| Liberty Mutual Group Inc 4.569% 2/1/2029 (i) | 19896000 | 19793841 |
| Lincoln National Corp 3.4% 1/15/2031  | 34132000 | 31783185 |
| Marsh & McLennan Cos Inc 4.375% 3/15/2029  | 19688000 | 19726627 |
| Marsh & McLennan Cos Inc 4.75% 3/15/2039  | 9035000 | 8476969 |
| Massachusetts Mutual Life Insurance Co 3.729% 10/15/2070 (i) | 20812000 | 13043590 |
| New York Life Insurance Co 3.75% 5/15/2050 (i) | 7429000 | 5387670 |
| Northwestern Mutual Life Insurance Co/The 6.063% 3/30/2040 (i) | 2000 | 2074 |
| Pacific LifeCorp 5.125% 1/30/2043 (i) | 15610000 | 14302507 |
| Progressive Corp/The 3.2% 3/26/2030  | 3815000 | 3649501 |
| Prudential Financial Inc 6% 9/1/2052 (b) | 55017000 | 55151902 |
| Teachers Insurance & Annuity Association of America 3.3% 5/15/2050 (i) | 16941000 | 11305105 |
| Teachers Insurance & Annuity Association of America 4.9% 9/15/2044 (i) | 29277000 | 26033497 |
| Unum Group 4% 6/15/2029  | 21076000 | 20656078 |
| Unum Group 4.046% 8/15/2041 (i) | 1392000 | 1114218 |
| Unum Group 5.75% 8/15/2042  | 27888000 | 27125732 |
|  |  | 356492023 |
| TOTAL FINANCIALS |  | 3477670897 |
| Health Care - 1.4% |  |  |
| Biotechnology - 0.2% |  |  |
| AbbVie Inc 3.2% 11/21/2029  | 17500000 | 16871148 |
| Amgen Inc 1.65% 8/15/2028  | 65000000 | 61287767 |
| Amgen Inc 5.15% 3/2/2028  | 20069000 | 20363103 |
|  |  | 98522018 |
| Health Care Providers & Services - 1.2% |  |  |
| Centene Corp 2.45% 7/15/2028  | 32380000 | 30143730 |
| Centene Corp 2.625% 8/1/2031  | 15205000 | 12702406 |
| Centene Corp 3.375% 2/15/2030  | 17480000 | 15790346 |
| Centene Corp 4.25% 12/15/2027  | 10677000 | 10488174 |
| Centene Corp 4.625% 12/15/2029  | 30530000 | 28981592 |
| Cigna Group/The 3.05% 10/15/2027  | 67800000 | 66549973 |
| Cigna Group/The 4.375% 10/15/2028  | 29050000 | 29027167 |
| Cigna Group/The 4.8% 8/15/2038  | 18087000 | 17005311 |
| Cigna Group/The 4.9% 12/15/2048  | 18071000 | 15689911 |
| Cigna Group/The 5.4% 3/15/2033  | 30000000 | 30841659 |
| CVS Health Corp 3% 8/15/2026  | 2965000 | 2947250 |
| CVS Health Corp 3.625% 4/1/2027  | 7479000 | 7414792 |
| CVS Health Corp 5% 1/30/2029  | 15279000 | 15477700 |
| CVS Health Corp 5% 9/15/2032  | 12070000 | 12079680 |
| CVS Health Corp 5.25% 1/30/2031  | 6265000 | 6402351 |
| CVS Health Corp 5.45% 9/15/2035  | 20000000 | 20077769 |
| HCA Inc 3.5% 9/1/2030  | 18350000 | 17425915 |
| HCA Inc 3.625% 3/15/2032  | 4185000 | 3889103 |
| HCA Inc 5.625% 9/1/2028  | 19094000 | 19473904 |
| HCA Inc 5.875% 2/1/2029  | 21003000 | 21615964 |
| Humana Inc 3.7% 3/23/2029  | 12046000 | 11708938 |
| Humana Inc 5.375% 4/15/2031  | 25106000 | 25375834 |
| Sabra Health Care LP 3.2% 12/1/2031  | 39949000 | 36071760 |
| Sabra Health Care LP 3.9% 10/15/2029  | 10094000 | 9789657 |
| Toledo Hospital/The Series 2018 B, 5.325% 11/15/2028  | 9969000 | 10056927 |
|  |  | 477027813 |
| Pharmaceuticals - 0.0% |  |  |
| Elanco Animal Health Inc 6.65% 8/28/2028 (b) | 6362000 | 6503517 |
| Mylan Inc 4.55% 4/15/2028  | 6911000 | 6875443 |
| Utah Acquisition Sub Inc 3.95% 6/15/2026  | 7459000 | 7444790 |
|  |  | 20823750 |
| TOTAL HEALTH CARE |  | 596373581 |
| Industrials - 0.5% |  |  |
| Aerospace & Defense - 0.4% |  |  |
| Boeing Co 3.55% 3/1/2038  | 3337000 | 2766730 |
| Boeing Co 5.15% 5/1/2030  | 6621000 | 6731836 |
| Boeing Co 5.805% 5/1/2050  | 34788000 | 33630479 |
| Boeing Co 5.93% 5/1/2060  | 12640000 | 12132986 |
| Boeing Co 6.259% 5/1/2027  | 7761000 | 7894993 |
| Boeing Co 6.298% 5/1/2029  | 11086000 | 11638477 |
| Boeing Co 6.388% 5/1/2031  | 8397000 | 8954067 |
| Boeing Co 6.528% 5/1/2034  | 8987000 | 9789922 |
| Boeing Co 6.858% 5/1/2054  | 13529000 | 14889677 |
| Boeing Co 7.008% 5/1/2064  | 12768000 | 14115280 |
|  |  | 122544447 |
| Building Products - 0.0% |  |  |
| Carrier Global Corp 5.9% 3/15/2034  | 3574000 | 3770745 |
| Carrier Global Corp 6.2% 3/15/2054  | 2214000 | 2313476 |
|  |  | 6084221 |
| Ground Transportation - 0.1% |  |  |
| CSX Corp 3.8% 4/15/2050  | 5875000 | 4364694 |
| Uber Technologies Inc 4.15% 1/15/2031  | 20008000 | 19563703 |
| Uber Technologies Inc 4.8% 9/15/2035  | 15783000 | 15315100 |
|  |  | 39243497 |
| Industrial Conglomerates - 0.0% |  |  |
| 3M Co 3.05% 4/15/2030  | 1519000 | 1439311 |
| Machinery - 0.0% |  |  |
| Deere & Co 3.1% 4/15/2030  | 9897000 | 9448443 |
| Professional Services - 0.0% |  |  |
| Paychex Inc 5.1% 4/15/2030  | 3641000 | 3673637 |
| Paychex Inc 5.35% 4/15/2032  | 5068000 | 5093557 |
| Paychex Inc 5.6% 4/15/2035  | 3958000 | 3975100 |
| Verisk Analytics Inc 4.45% 3/15/2031  | 5721000 | 5625850 |
|  |  | 18368144 |
| TOTAL INDUSTRIALS |  | 197128063 |
| Information Technology - 1.1% |  |  |
| Electronic Equipment, Instruments & Components - 0.5% |  |  |
| Dell International LLC / EMC Corp 4.15% 2/15/2029  | 20070000 | 19903065 |
| Dell International LLC / EMC Corp 4.5% 2/15/2031  | 39739000 | 39269276 |
| Dell International LLC / EMC Corp 4.75% 10/6/2032  | 26492000 | 26115566 |
| Dell International LLC / EMC Corp 5.1% 2/15/2036  | 41980000 | 41048213 |
| Dell International LLC / EMC Corp 5.25% 2/1/2028  | 28212000 | 28587223 |
| Dell International LLC / EMC Corp 5.3% 10/1/2029  | 11000000 | 11225904 |
| Dell International LLC / EMC Corp 6.1% 7/15/2027  | 9944000 | 10130036 |
| Dell International LLC / EMC Corp 6.2% 7/15/2030  | 8607000 | 9095147 |
|  |  | 185374430 |
| Semiconductors & Semiconductor Equipment - 0.4% |  |  |
| Broadcom Inc 1.95% 2/15/2028  | 7184000 | 6894596 |
| Broadcom Inc 2.45% 2/15/2031  | 61131000 | 55518543 |
| Broadcom Inc 2.6% 2/15/2033  | 61131000 | 53450919 |
| Broadcom Inc 3.419% 4/15/2033  | 5516000 | 5043960 |
| Broadcom Inc 3.5% 2/15/2041  | 43849000 | 34983155 |
| Broadcom Inc 4.926% 5/15/2037 (i) | 23167000 | 22470210 |
|  |  | 178361383 |
| Software - 0.2% |  |  |
| Oracle Corp 4.45% 9/26/2030  | 15097000 | 14548698 |
| Oracle Corp 4.8% 9/26/2032  | 25181000 | 23981073 |
| Oracle Corp 5.2% 9/26/2035  | 22924000 | 21502596 |
| Oracle Corp 5.875% 9/26/2045  | 14137000 | 12196567 |
| Oracle Corp 5.95% 9/26/2055  | 17723000 | 14909841 |
| Oracle Corp 6.1% 9/26/2065  | 18241000 | 15125100 |
|  |  | 102263875 |
| TOTAL INFORMATION TECHNOLOGY |  | 465999688 |
| Materials - 0.1% |  |  |
| Chemicals - 0.0% |  |  |
| Celanese US Holdings LLC 6.85% 11/15/2028 (b) | 11633000 | 12079800 |
| Celanese US Holdings LLC 7.05% 11/15/2030 (b) | 18931000 | 19999409 |
| Celanese US Holdings LLC 7.2% 11/15/2033 (b) | 11063000 | 11801300 |
|  |  | 43880509 |
| Construction Materials - 0.1% |  |  |
| Amrize Finance US LLC 4.6% 4/7/2027  | 36803000 | 36895498 |
| Amrize Finance US LLC 4.7% 4/7/2028  | 26383000 | 26538823 |
|  |  | 63434321 |
| TOTAL MATERIALS |  | 107314830 |
| Real Estate - 2.4% |  |  |
| Diversified REITs - 0.3% |  |  |
| Piedmont Operating Partnership LP 2.75% 4/1/2032  | 6300000 | 5293415 |
| Store Capital LLC 2.75% 11/18/2030  | 8515000 | 7659619 |
| Store Capital LLC 4.625% 3/15/2029  | 8847000 | 8752659 |
| VICI Properties LP 4.75% 2/15/2028  | 29291000 | 29317470 |
| VICI Properties LP 4.75% 4/1/2028  | 6730000 | 6736853 |
| VICI Properties LP 4.95% 2/15/2030  | 38231000 | 38169853 |
| VICI Properties LP 5.125% 5/15/2032  | 10549000 | 10395609 |
| VICI Properties LP 5.75% 4/1/2034  | 5034000 | 5080281 |
| Vornado Realty LP 2.15% 6/1/2026  | 7918000 | 7873351 |
| WP Carey Inc 3.85% 7/15/2029  | 6097000 | 5952743 |
|  |  | 125231853 |
| Health Care REITs - 0.8% |  |  |
| Alexandria Real Estate Equities Inc 2% 5/18/2032  | 19486000 | 16302678 |
| Alexandria Real Estate Equities Inc 4.9% 12/15/2030  | 17745000 | 17783013 |
| Healthcare Realty Holdings LP 3.1% 2/15/2030  | 6066000 | 5709449 |
| Healthcare Realty Holdings LP 3.5% 8/1/2026  | 6318000 | 6296805 |
| Healthpeak OP LLC 3.25% 7/15/2026  | 2733000 | 2723433 |
| Healthpeak OP LLC 3.5% 7/15/2029  | 3125000 | 3020040 |
| Omega Healthcare Investors Inc 3.25% 4/15/2033  | 25245000 | 22220611 |
| Omega Healthcare Investors Inc 3.375% 2/1/2031  | 11416000 | 10550942 |
| Omega Healthcare Investors Inc 3.625% 10/1/2029  | 26970000 | 25903511 |
| Omega Healthcare Investors Inc 4.5% 4/1/2027  | 86567000 | 86451631 |
| Omega Healthcare Investors Inc 4.75% 1/15/2028  | 28933000 | 28908195 |
| Ventas Realty LP 2.5% 9/1/2031  | 53031000 | 47231229 |
| Ventas Realty LP 3% 1/15/2030  | 35454000 | 33393697 |
| Ventas Realty LP 4% 3/1/2028  | 10351000 | 10247314 |
| Ventas Realty LP 4.375% 2/1/2045  | 3802000 | 3145123 |
| Ventas Realty LP 4.75% 11/15/2030  | 41973000 | 42046136 |
|  |  | 361933807 |
| Industrial REITs - 0.0% |  |  |
| LXP Industrial Trust 2.7% 9/15/2030  | 7890000 | 7193712 |
| Office REITs - 0.2% |  |  |
| Boston Properties LP 3.25% 1/30/2031  | 16564000 | 15278024 |
| Boston Properties LP 4.5% 12/1/2028  | 18628000 | 18504868 |
| Boston Properties LP 6.75% 12/1/2027  | 24397000 | 25216275 |
| COPT Defense Properties LP 2% 1/15/2029  | 2896000 | 2701018 |
| COPT Defense Properties LP 2.75% 4/15/2031  | 7105000 | 6433070 |
| COPT Defense Properties LP 4.5% 10/15/2030  | 4024000 | 3972008 |
| Hudson Pacific Properties LP 4.65% 4/1/2029  | 37205000 | 31731586 |
|  |  | 103836849 |
| Real Estate Management & Development - 0.4% |  |  |
| Brandywine Operating Partnership LP 3.95% 11/15/2027  | 20195000 | 19368011 |
| Brandywine Operating Partnership LP 4.55% 10/1/2029  | 27295000 | 24886964 |
| Brandywine Operating Partnership LP 8.3% 3/15/2028  | 33242000 | 33826903 |
| CBRE Services Inc 2.5% 4/1/2031  | 23518000 | 21012996 |
| Tanger Properties LP 2.75% 9/1/2031  | 18732000 | 16728507 |
| Tanger Properties LP 3.125% 9/1/2026  | 16602000 | 16505836 |
| Tanger Properties LP 3.875% 7/15/2027  | 28881000 | 28644529 |
|  |  | 160973746 |
| Residential REITs - 0.2% |  |  |
| American Homes 4 Rent LP 2.375% 7/15/2031  | 3169000 | 2788611 |
| American Homes 4 Rent LP 3.625% 4/15/2032  | 14296000 | 13197658 |
| American Homes 4 Rent LP 4.3% 4/15/2052  | 9909000 | 7538861 |
| Invitation Homes Operating Partnership LP 4.15% 4/15/2032  | 21143000 | 19847049 |
| Sun Communities Operating LP 2.3% 11/1/2028  | 7110000 | 6728538 |
| Sun Communities Operating LP 2.7% 7/15/2031  | 18176000 | 16258127 |
|  |  | 66358844 |
| Retail REITs - 0.5% |  |  |
| Brixmor Operating Partnership LP 4.05% 7/1/2030  | 22047000 | 21450621 |
| Brixmor Operating Partnership LP 4.125% 5/15/2029  | 24028000 | 23701847 |
| Brixmor Operating Partnership LP 4.125% 6/15/2026  | 26610000 | 26593551 |
| Kite Realty Group LP 5.5% 3/1/2034  | 6294000 | 6349772 |
| Kite Realty Group Trust 4.75% 9/15/2030  | 42235000 | 42227536 |
| Phillips Edison Grocery Center Operating Partnership I LP 4.75% 3/15/2033  | 11774000 | 11488906 |
| Phillips Edison Grocery Center Operating Partnership I LP 5.75% 7/15/2034  | 6358000 | 6523149 |
| Realty Income Corp 2.2% 6/15/2028  | 3445000 | 3289291 |
| Realty Income Corp 2.85% 12/15/2032  | 4238000 | 3758827 |
| Realty Income Corp 3.25% 1/15/2031  | 4502000 | 4233250 |
| Realty Income Corp 3.4% 1/15/2028  | 7083000 | 6964666 |
| Regency Centers LP 3.7% 6/15/2030  | 25000000 | 24255907 |
| Simon Property Group LP 2.65% 2/1/2032  | 30000000 | 26747143 |
|  |  | 207584466 |
| TOTAL REAL ESTATE |  | 1033113277 |
| Utilities - 1.1% |  |  |
| Electric Utilities - 0.7% |  |  |
| AEP Texas Inc 5.2% 4/15/2036  | 8488000 | 8347625 |
| Alabama Power Co 3.05% 3/15/2032  | 29471000 | 27073771 |
| Cleco Corporate Holdings LLC 3.375% 9/15/2029  | 15724000 | 14697978 |
| Cleco Corporate Holdings LLC 3.743% 5/1/2026  | 60730000 | 60685658 |
| Cleveland Electric Illuminating Co/The 5.95% 12/15/2036  | 1128000 | 1166015 |
| Consolidated Edison Co of New York Inc 3.35% 4/1/2030  | 3290000 | 3155902 |
| Duke Energy Corp 4.95% 9/15/2035  | 36862000 | 35934730 |
| Duquesne Light Holdings Inc 2.532% 10/1/2030 (i) | 10574000 | 9623647 |
| Duquesne Light Holdings Inc 2.775% 1/7/2032 (i) | 22503000 | 19845139 |
| Exelon Corp 2.75% 3/15/2027  | 6523000 | 6423239 |
| Exelon Corp 3.35% 3/15/2032  | 7920000 | 7309384 |
| Exelon Corp 4.05% 4/15/2030  | 7291000 | 7140177 |
| Exelon Corp 4.7% 4/15/2050  | 3246000 | 2682236 |
| IPALCO Enterprises Inc 5.75% 4/1/2034  | 43698000 | 43393769 |
| Southern Co/The 5.7% 3/15/2034  | 27735000 | 28739890 |
| Southwestern Electric Power Co 5.2% 4/1/2036  | 13758000 | 13528930 |
| Southwestern Electric Power Co 5.3% 4/1/2033  | 16634000 | 16867283 |
|  |  | 306615373 |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |
| AES Corp/The 2.45% 1/15/2031  | 19673000 | 17404313 |
| AES Corp/The 3.95% 7/15/2030 (i) | 42717000 | 40839583 |
|  |  | 58243896 |
| Multi-Utilities - 0.3% |  |  |
| Berkshire Hathaway Energy Co 3.7% 7/15/2030  | 4149000 | 4031936 |
| NiSource Inc 2.95% 9/1/2029  | 40740000 | 38715426 |
| NiSource Inc 3.6% 5/1/2030  | 22835000 | 22004838 |
| Puget Energy Inc 4.1% 6/15/2030  | 25767000 | 24971022 |
| Puget Energy Inc 4.224% 3/15/2032  | 27319000 | 26059356 |
|  |  | 115782578 |
| TOTAL UTILITIES |  | 480641847 |
| TOTAL UNITED STATES |  | 8072268371 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $9,602,805,365) |  | <br> **9255997212** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 19.3%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 19.3%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 19.3%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 19.3%  |  |  |
| Fannie Mae 3.5% 12/1/2036  | 199099 | 194155 |
| Fannie Mae 3.5% 5/1/2036  | 152185 | 148803 |
| Fannie Mae 6% 12/1/2054  | 7069011 | 7346595 |
| Fannie Mae 6.5% 7/1/2054  | 2901216 | 3048018 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.398%, 6.196% 5/1/2033 (b)(c) | 1057 | 1075 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.445%, 5.57% 4/1/2037 (b)(c) | 13817 | 14244 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.462%, 5.96% 1/1/2035 (b)(c) | 3026 | 3111 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.475%, 6.225% 5/1/2036 (b)(c) | 20097 | 20686 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.48%, 6.105% 7/1/2034 (b)(c) | 1783 | 1828 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.534%, 6.409% 3/1/2036 (b)(c) | 21024 | 21628 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.553%, 6.178% 6/1/2036 (b)(c) | 12069 | 12451 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.565%, 5.69% 3/1/2037 (b)(c) | 15265 | 15791 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6094%, 6.369% 5/1/2035 (b)(c) | 17360 | 17870 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6286%, 6.245% 7/1/2035 (b)(c) | 44602 | 46131 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.63%, 6.315% 9/1/2036 (b)(c) | 3359 | 3471 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6669%, 6.316% 11/1/2036 (b)(c) | 54411 | 56142 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.673%, 6.057% 3/1/2033 (b)(c) | 7346 | 7549 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6834%, 6.511% 5/1/2036 (b)(c) | 10364 | 10718 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6917%, 6.203% 7/1/2043 (b)(c) | 187111 | 195725 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.7%, 6.591% 6/1/2042 (b)(c) | 16149 | 16906 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.7392%, 6.079% 3/1/2040 (b)(c) | 27044 | 28197 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.106% 7/1/2035 (b)(c) | 10410 | 10733 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.5% 8/1/2041 (b)(c) | 47779 | 50136 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.07% 1/1/2042 (b)(c) | 60764 | 63763 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.478% 7/1/2041 (b)(c) | 5220 | 5481 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.806%, 6.388% 12/1/2040 (b)(c) | 511705 | 537290 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.81%, 6.06% 12/1/2039 (b)(c) | 9709 | 10133 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 5.962% 2/1/2042 (b)(c) | 26865 | 28184 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.508% 7/1/2041 (b)(c) | 10572 | 11101 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.568% 9/1/2041 (b)(c) | 8987 | 9437 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.825%, 5.972% 2/1/2035 (b)(c) | 6405 | 6644 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.83%, 6.58% 10/1/2041 (b)(c) | 3089 | 3206 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.955%, 6.705% 7/1/2037 (b)(c) | 60920 | 63631 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.208%, 6.458% 3/1/2035 (b)(c) | 11112 | 11469 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.2602%, 5.889% 8/1/2036 (b)(c) | 57973 | 59991 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.27%, 6.217% 6/1/2036 (b)(c) | 19873 | 20522 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.275%, 6.378% 10/1/2033 (b)(c) | 15104 | 15557 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.46%, 6.385% 7/1/2034 (b)(c) | 6410 | 6595 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.461%, 6.366% 5/1/2035 (b)(c) | 8298 | 8570 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036  | 12248993 | 11070748 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 1543309 | 1312647 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 16712066 | 15104514 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 3752755 | 3391774 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 33044 | 29866 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040  | 1516259 | 1291636 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2041  | 16439448 | 13864493 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 7140420 | 6453575 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 23074 | 20854 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 1545551 | 1315552 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2041  | 1574795 | 1338370 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2051  | 24918871 | 19236943 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2041  | 1609690 | 1367090 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 1690821 | 1317966 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2035  | 6390728 | 5783985 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2037  | 6325754 | 5832933 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 5092061 | 4148577 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 4816407 | 4194832 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 16636 | 14509 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 8704203 | 7181203 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 1509969 | 1229250 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 466278 | 379592 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 20581863 | 16884117 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 8743662 | 7167307 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2052  | 63517 | 51194 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 6174606 | 5385146 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 4915610 | 4283663 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 4866273 | 3978310 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 964015 | 784795 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 955370 | 777757 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 26716940 | 21900266 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 16868327 | 13806129 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 1695553 | 1385100 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 1751429 | 1544512 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 13979 | 12282 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 982786 | 800076 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 784346 | 641469 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 14298441 | 11680427 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 10055144 | 8229780 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 5530402 | 4536808 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 3410825 | 3357399 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041  | 14978 | 13143 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 497885 | 407345 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 52876 | 43178 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 12804 | 10447 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 67386 | 55153 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 90832 | 74116 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 1176904 | 964725 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 752727 | 662934 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 1606798 | 1305064 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 1102151 | 895183 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 541851 | 477127 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 16435 | 14380 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 5780604 | 5057285 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 35925699 | 29269192 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 3554583 | 2914855 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 2694202 | 2188270 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 1887141 | 1536302 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 220451 | 179604 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 63745 | 51934 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  | 835078 | 679828 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 429063 | 351843 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2050  | 883196 | 719001 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 1882986 | 1814510 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 4342610 | 3711944 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 1252802 | 1074384 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 991633 | 850410 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 670008 | 574589 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2029  | 213526 | 208905 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2029  | 20267 | 19828 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 1878860 | 1812294 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 199636 | 192655 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 53227 | 51365 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 29135 | 28117 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 5475 | 5283 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2032  | 30050 | 28833 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 3130145 | 2666759 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2029  | 270846 | 265478 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 1188100 | 1145989 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 62230 | 60025 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 58420 | 56296 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 470232 | 451392 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 5130 | 4934 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 9132580 | 8182367 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 5766507 | 5171770 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 3825798 | 3440808 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 1213458 | 1091930 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 1182261 | 1063203 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 1119206 | 1006853 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 10193335 | 8677944 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 7738799 | 6588312 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 3319545 | 3198837 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 90436 | 86733 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 20395 | 19570 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2033  | 8814008 | 8484820 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 14358929 | 12273619 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 76132 | 64885 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 996735 | 961870 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2041  | 3618103 | 3263764 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2042  | 2929069 | 2637346 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 705230 | 604465 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2033  | 19829 | 19044 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  | 1133516 | 1028125 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2041  | 1014718 | 922283 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 4690521 | 3994671 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 5648592 | 4827380 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2036  | 1797221 | 1733494 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  | 7441879 | 6909292 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2041  | 3407366 | 3071013 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2042  | 1249082 | 1119989 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  | 23647086 | 20419794 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 7236736 | 6206117 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 6022068 | 5130562 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 1122634 | 966964 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 195783 | 189633 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2040  | 808253 | 732978 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 1197818 | 1079435 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 904510 | 819857 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 191094 | 171811 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 78806 | 70750 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 27379118 | 23428588 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 25785933 | 21855773 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051 (d) | 13862700 | 11888445 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 28389738 | 24346617 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2052  | 4524705 | 3884562 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2052  | 3386956 | 2914129 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 2375005 | 2136896 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 951518 | 858739 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 1287519 | 1244718 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 276883 | 267795 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 28070356 | 23906051 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 22464364 | 19131722 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 21615050 | 18408405 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2029  | 14815 | 14481 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2031  | 492460 | 475007 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2041  | 7777352 | 6982447 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2033  | 97901 | 95186 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 1592851 | 1467855 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 342612 | 315398 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 226756 | 209599 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 186221 | 171224 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 177220 | 163292 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 163850 | 150842 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 142287 | 130604 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 138799 | 128033 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 111455 | 102432 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 93431 | 86570 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 67152 | 62312 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 41110 | 38053 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 33403 | 30776 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 30351 | 27851 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 29711 | 27543 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 29752 | 27332 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 28944 | 26592 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 25998 | 23892 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 24707 | 22800 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 24198 | 22246 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 23109 | 21275 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 21959 | 20227 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 21403 | 19707 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 10976 | 10044 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2045  | 131423 | 121716 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 6938314 | 6160784 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 1172455 | 1037768 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 423905 | 375209 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 16183 | 14324 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 145359 | 133621 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 3250 | 3013 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 2677958 | 2421374 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 5690837 | 5049547 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  | 593484 | 580891 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 793564 | 732191 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 120722 | 111107 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 81317 | 74991 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 56317 | 51581 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 27382 | 25276 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 24067 | 22303 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 24011 | 22078 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 22229 | 20735 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 21187 | 19382 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 9341 | 8614 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 3360383 | 3038414 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 3258287 | 2946100 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 1360246 | 1207813 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 17875025 | 15899822 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 9676815 | 8634737 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 99201 | 88735 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 72064 | 64461 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2028  | 7906 | 7811 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 3834167 | 3744311 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 1649392 | 1610637 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 433817 | 400418 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 184711 | 170003 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 105832 | 97498 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 77339 | 70842 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 71291 | 65668 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 68824 | 63189 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 67930 | 62577 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 65918 | 60714 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 63217 | 58313 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 30673 | 28504 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 23489 | 21669 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 20695 | 19079 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 15276 | 13986 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 15058 | 13864 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 13574 | 12602 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 9301 | 8646 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 6187 | 5691 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 5323 | 4902 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2044  | 20143 | 18276 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 19578 | 17457 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  | 12535925 | 11131109 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 6210880 | 5510987 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 4168383 | 3716892 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 2003066 | 1781725 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 1000101 | 983150 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 50640 | 49880 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2033  | 66027 | 64197 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2035  | 414797 | 406318 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 1195261 | 1098796 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 873785 | 803603 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 662703 | 610581 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 525203 | 483400 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 418135 | 384387 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 240492 | 221554 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 225081 | 206971 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 206434 | 189365 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 122897 | 113490 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 101308 | 93223 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 92158 | 84344 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 52674 | 48296 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 16975 | 15543 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 15379 | 14176 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 8087 | 7431 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 6914 | 6535 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 7741050 | 6926783 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052 (e)(f) | 22179769 | 19708096 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 5638580 | 5010227 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 358548 | 318592 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 139046 | 135624 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 360899 | 332498 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 94695 | 87157 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 65109 | 59889 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 27594 | 25348 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 21701 | 19965 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 15749 | 14492 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 13625 | 12549 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2044  | 97320 | 88755 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2045  | 262873 | 240407 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2045  | 104808 | 94928 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2047  | 1183247 | 1069877 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 10048542 | 8894209 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 9760605 | 8724754 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 8194096 | 7252794 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 305187 | 279432 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 235113 | 216290 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 50216 | 46245 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 48775 | 44799 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 46499 | 42758 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 42203 | 38796 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 16476 | 15148 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 16295 | 14968 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 9399 | 8640 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 1095588 | 991985 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2049  | 41784 | 37389 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 8280946 | 7417651 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 1180526 | 1083926 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 967024 | 889610 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 144578 | 132923 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 87594 | 80544 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 66602 | 61166 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 59765 | 54888 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 34050 | 31315 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 17546 | 16140 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 15190 | 13883 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 1513 | 1392 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 1441410 | 1309733 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 99028 | 90516 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 53379 | 49241 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 1088981 | 984983 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 20711 | 18917 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 14874 | 13635 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 14856 | 13613 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 10732 | 9817 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2044  | 926804 | 852171 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2045  | 101883 | 92855 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 6237841 | 5583643 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2052  | 28828077 | 25615528 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2034  | 1181233 | 1158469 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2036  | 13237 | 12524 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2042  | 226843 | 209432 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2042  | 50751 | 46677 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 4102962 | 3758951 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 23485 | 21582 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 17276 | 15955 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2045  | 575317 | 525236 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2045  | 503388 | 459361 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046  | 9621009 | 8687163 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 4047101 | 3618864 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2029  | 36648 | 36103 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 631873 | 579628 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 278177 | 254868 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 36229 | 33178 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 2955373 | 2681704 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 288540 | 261449 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 107845 | 97416 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049 (d) | 14429601 | 12857666 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  | 257855 | 227106 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2050  | 81099 | 72062 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 5754442 | 5136555 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 42676 | 37867 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2035  | 2597487 | 2536444 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 755489 | 695155 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 115811 | 106192 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 98873 | 90505 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 42248 | 38776 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 5141 | 4717 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2050  | 97257 | 86449 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2050  | 21772 | 19182 |
| Fannie Mae Mortgage pass-thru certificates 3.25% 12/1/2041  | 13849 | 13146 |
| Fannie Mae Mortgage pass-thru certificates 3.4% 8/1/2042  | 167392 | 156875 |
| Fannie Mae Mortgage pass-thru certificates 3.4% 9/1/2042  | 78712 | 73670 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2038  | 28581 | 27658 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2041  | 16275 | 15475 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 781129 | 737236 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 121875 | 115004 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 7314268 | 6812842 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 111244 | 103548 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 45427 | 42285 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 10563 | 9862 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 460 | 431 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 3431546 | 3210239 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 2056393 | 1899352 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2033  | 3341 | 3260 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2035  | 120683 | 117438 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2040  | 23859 | 22679 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 1510717 | 1426324 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 549475 | 521784 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 509695 | 481213 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 142572 | 134652 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 85801 | 81066 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 39944 | 37889 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 23817 | 22454 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 4259 | 4021 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 374141 | 349457 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2046  | 238988 | 223127 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 3136975 | 2936626 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2049  | 7575 | 7070 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2051  | 2255142 | 2077990 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2041  | 3593 | 3406 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 250755 | 236042 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 161291 | 152073 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 78023 | 73547 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 71506 | 67175 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 44709 | 42203 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 23115 | 21764 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 76415 | 71947 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 21270 | 19838 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 4710 | 4395 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2048  | 42905993 | 40058266 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 242256 | 223226 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 104446 | 96241 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 86503 | 79708 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2041  | 12094 | 11483 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 183394 | 173607 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 106433 | 100730 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 56805 | 53636 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2044  | 19307 | 18120 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2045  | 57847 | 54371 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 1691463 | 1575506 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 465114 | 433229 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2047  | 800928 | 744519 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 290559 | 273182 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 104056 | 98180 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 58988 | 55332 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2047  | 19208 | 17879 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2051  | 45055 | 41642 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 4012650 | 3699946 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 293190 | 276292 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 293426 | 275781 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  | 7011069 | 6453745 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2039  | 181339 | 175481 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 332281 | 314131 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 221906 | 209721 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 16747 | 15808 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 4046 | 3834 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 1329118 | 1251362 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 765002 | 719764 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 135492 | 127716 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 99699 | 93910 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 30271 | 28542 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 2229095 | 2082550 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 598770 | 559406 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2049  | 4425 | 4101 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2051  | 456675 | 421515 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2038  | 104426 | 101052 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 655429 | 620561 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 94132 | 88689 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 4827 | 4569 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 3531 | 3341 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 1085328 | 1021455 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 607853 | 572279 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 19701 | 18473 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2044  | 9592 | 9090 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 1089284 | 1017672 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2051  | 923535 | 852430 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2051  | 29610 | 27330 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2038  | 120650 | 116488 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 764029 | 722233 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 30476 | 28819 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 16647 | 15726 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 972897 | 915989 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 15188 | 14351 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 45620 | 43061 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 3816 | 3608 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2043  | 95380 | 89592 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 2733820 | 2547259 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 1647061 | 1534662 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 183991 | 171435 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 8808406 | 8315380 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2051  | 3504806 | 3231678 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  | 4261684 | 3948218 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 835540 | 789354 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 210014 | 198965 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 124721 | 117577 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 942474 | 891486 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 119107 | 112498 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 22703 | 21381 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 3801 | 3583 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2044  | 40588 | 38005 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 478909 | 446228 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 15557 | 14534 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2049  | 9898248 | 9201118 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2051  | 542112 | 497562 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2051  | 269536 | 248532 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2052  | 3127294 | 2870881 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2037  | 7482 | 7247 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 346656 | 327201 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 322644 | 304762 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 170037 | 160404 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 113015 | 106652 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 104186 | 98790 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 63701 | 60377 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 59330 | 56016 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 31165 | 29423 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 29418 | 27876 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2045  | 789363 | 737637 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2045  | 23954 | 22381 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  | 5798081 | 5416903 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  | 9910 | 9252 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 2067131 | 1935110 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 55889 | 51988 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 1794364 | 1650605 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 371501 | 342782 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 29176 | 26902 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 15764 | 14526 |
| Fannie Mae Mortgage pass-thru certificates 3.65% 5/1/2042  | 19141 | 18184 |
| Fannie Mae Mortgage pass-thru certificates 3.65% 8/1/2042  | 50465 | 47890 |
| Fannie Mae Mortgage pass-thru certificates 3.9% 4/1/2042  | 23989 | 23210 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 2713038 | 2645400 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 340910 | 332008 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 111074 | 108197 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 104806 | 102178 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 72515 | 70743 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 45088 | 43935 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 28857 | 28111 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 23158 | 22555 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 13081 | 12792 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 12658 | 12346 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 11131 | 10874 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 9248 | 9037 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 8596 | 8381 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 8175 | 7965 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 1720473 | 1676803 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 121895 | 118572 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 83545 | 80997 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 4917 | 4883 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2043  | 246881 | 240239 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2044  | 129698 | 125586 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2045  | 984079 | 946024 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2046  | 256933 | 246740 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2048  | 54932 | 52428 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2039  | 383820 | 374566 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2039  | 83065 | 80983 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 284508 | 277587 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 153291 | 149125 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 84948 | 83066 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 53271 | 51962 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 33500 | 32696 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 20951 | 20467 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 17674 | 17270 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 947 | 922 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 1446993 | 1409029 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 969795 | 944082 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 57823 | 56231 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 26202 | 25539 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 17463 | 17011 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 5198 | 5120 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043  | 481915 | 469386 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 156363 | 150377 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 52676 | 50508 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 2696160 | 2590980 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2050  | 10674549 | 10188074 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2038  | 244380 | 238551 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 2411867 | 2352007 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 320000 | 312401 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 223041 | 217972 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 201785 | 196520 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 188718 | 183693 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 178039 | 173507 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 172039 | 167904 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 153174 | 149382 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 146487 | 142490 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 133127 | 129676 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 129730 | 126620 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 125464 | 122134 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 115666 | 112813 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 89433 | 87049 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 85104 | 82769 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 74999 | 73292 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 72725 | 70932 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 67357 | 65507 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 59898 | 58260 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 50096 | 49106 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 37401 | 36223 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 32596 | 31791 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 25808 | 25149 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 22151 | 21627 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 21594 | 21128 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 11568 | 11286 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 3009 | 2928 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 811 | 791 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 1829328 | 1781406 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 481968 | 469262 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 390352 | 379880 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 19272 | 18685 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2042  | 33049 | 32177 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 618177 | 593755 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2038  | 470792 | 459639 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2039  | 237697 | 231691 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 459250 | 447428 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 88634 | 86408 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 82181 | 80165 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 34158 | 33267 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 14486 | 14197 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 13415 | 13108 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 11393 | 11139 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 10472 | 10163 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 9432 | 9190 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 6937 | 6768 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 4694 | 4573 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 3860 | 3774 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 3351 | 3269 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 3130 | 3052 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 1416 | 1381 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 623 | 608 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 355190 | 345488 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 203780 | 198373 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 37437 | 36446 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 25197 | 24524 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2042  | 56018 | 54561 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2043  | 64056 | 61761 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 615257 | 592663 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 90886 | 87533 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 469924 | 451432 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 232209 | 222731 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 12919 | 12390 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2047  | 457889 | 438023 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 2224693 | 2169460 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 138992 | 135510 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 37485 | 36540 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 14213 | 13817 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 12456 | 12157 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 11113 | 10839 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 9569 | 9321 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 7624 | 7432 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 1549 | 1510 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 1179941 | 1147984 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 239185 | 232010 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 111040 | 108256 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 50804 | 49792 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 39255 | 38292 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 34403 | 33444 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 10467 | 10158 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 4712 | 4581 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2046  | 12820 | 12324 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  | 304456 | 292199 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  | 519005 | 495028 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  | 19066 | 18239 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2036  | 30524 | 30016 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 875439 | 855407 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 334568 | 326826 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 107018 | 104559 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 132152 | 129231 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 55331 | 53797 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 54335 | 52939 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 29945 | 29180 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 22664 | 22093 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 20125 | 19572 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 11333 | 11089 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 7114 | 6941 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 6693 | 6524 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 3253 | 3167 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 1773 | 1731 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 1013780 | 984026 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 134860 | 131300 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 104512 | 101606 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 98667 | 95950 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 83032 | 80759 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 52990 | 51579 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 32869 | 31970 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 2421334 | 2334016 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 820678 | 789579 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 149192 | 143424 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 1850365 | 1778037 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 121354 | 116430 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 895879 | 871938 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 293782 | 285928 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 283458 | 275911 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 176284 | 171434 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 132191 | 128510 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 57724 | 55956 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 56374 | 54684 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 46196 | 44916 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 32892 | 32143 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 19523 | 18983 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2044  | 410510 | 397531 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 139860 | 134494 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  | 107781 | 103408 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 2472301 | 2367356 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 598820 | 572840 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 564586 | 540091 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 2613979 | 2488316 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2039  | 220459 | 215050 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  | 2512548 | 2407465 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  | 998567 | 954619 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 569475 | 556026 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 438134 | 428148 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 1214 | 1189 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2041  | 241695 | 235584 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2044  | 199742 | 192583 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2044  | 19221 | 18530 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2045  | 317275 | 305242 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  | 1957453 | 1878033 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2039  | 56168 | 55084 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2039  | 3808 | 3729 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2039  | 1022 | 998 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2042  | 44075 | 42765 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2043  | 28313 | 27319 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 3084103 | 2965718 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 1686547 | 1613902 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 1385009 | 1325352 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2039  | 112098 | 109313 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2039  | 10809 | 10557 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2039  | 9938 | 9726 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 84390 | 81730 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 28504 | 27507 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 23846 | 23004 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 329052 | 316093 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 201636 | 194306 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 199219 | 191111 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2038  | 319743 | 313340 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 604179 | 592505 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 52586 | 51438 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 53834 | 52433 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 25652 | 24983 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 64421 | 62710 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 27515 | 26691 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 23378 | 22721 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 15669 | 15335 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 6545 | 6373 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2043  | 13843 | 13351 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 3690849 | 3549173 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2047  | 28637 | 27529 |
| Fannie Mae Mortgage pass-thru certificates 4.25% 11/1/2041  | 44733 | 44055 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2034  | 3796 | 3794 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044  | 20205 | 20066 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 469445 | 459168 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 66153 | 64705 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 42604 | 41738 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 30370 | 29639 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 27265 | 27141 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2043  | 3056 | 3030 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  | 1331221 | 1320508 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2047  | 189487 | 185634 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2047  | 10596 | 10384 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2034  | 3137 | 3135 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 445537 | 443831 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 28318 | 28190 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 17139 | 17065 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 139117 | 138477 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 7722 | 7712 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 3557275 | 3540920 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 97909 | 97336 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 180417 | 179357 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 31125 | 30827 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2045  | 331398 | 329793 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  | 63826 | 62608 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  | 20056 | 19649 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2033  | 50189 | 50172 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2038  | 12586 | 12582 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2039  | 268822 | 267838 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 55649 | 55381 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 55058 | 54842 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 9085 | 9053 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 8816 | 8776 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2041  | 301013 | 299238 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2043  | 11685 | 11595 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 22754 | 22497 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 5900 | 5870 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046  | 198055 | 194585 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2047  | 28118 | 27555 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2033  | 13859 | 13859 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 652813 | 649970 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 15111 | 15039 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 11965 | 11909 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 1156 | 1153 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2045  | 478062 | 474243 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2046  | 905974 | 901657 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 245014 | 239651 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 180203 | 176258 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 85280 | 83227 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 2687222 | 2673742 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 102740 | 102708 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 1692 | 1691 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2044  | 21805 | 21719 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2045  | 186785 | 184330 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 149735 | 147534 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 149483 | 146631 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 36606 | 35907 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 27451 | 26945 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 271814 | 265864 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 56901 | 55656 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 1773195 | 1772502 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 492615 | 492467 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 314131 | 314033 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 8756 | 8723 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 651 | 649 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 68032 | 67638 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 17599 | 17511 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 1968 | 1958 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 113008 | 112799 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 54258 | 53886 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2045  | 55184 | 54459 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 178324 | 174922 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 151085 | 148080 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 94799 | 92990 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 42925 | 42240 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 38458 | 37724 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 33436 | 32798 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 187169 | 183071 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 295 | 295 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 4761497 | 4737610 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 3854 | 3840 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2040  | 9062 | 9024 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2041  | 104356 | 103824 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2041  | 10298 | 10245 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 130159 | 127676 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 51702 | 50748 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 23573 | 23138 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  | 1370444 | 1363569 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  | 1665 | 1661 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2041  | 1649852 | 1641886 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2041  | 485170 | 484904 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044  | 492033 | 488105 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2045  | 153696 | 151580 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2046  | 29568 | 29096 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 2564258 | 2515334 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 73315 | 71917 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 41905 | 41053 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 24434 | 23983 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2026  | 141 | 141 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 4726 | 4726 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 2124 | 2124 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 356020 | 354699 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 47837 | 47709 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 13869 | 13818 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 8348 | 8316 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 1943 | 1936 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2040  | 10720 | 10664 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2041  | 15852 | 15767 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2045  | 75645 | 74651 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 2067980 | 2027232 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 312787 | 306428 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 65225 | 65200 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 35676 | 35664 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 31739 | 31728 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 23862 | 23854 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 21368 | 21361 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 10860 | 10856 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 10546 | 10543 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 5531 | 5530 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 5465 | 5463 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 2535 | 2534 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2037  | 9016 | 9014 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 3597634 | 3579586 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 314848 | 313398 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 3355 | 3343 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 3213 | 3202 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 2115 | 2106 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2040  | 1360 | 1355 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 35678 | 35519 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 10118 | 10062 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 9414 | 9340 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2047  | 16440 | 16105 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 76651 | 76625 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 35858 | 35847 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 35538 | 35526 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 28447 | 28438 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 13144 | 13140 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 11573 | 11570 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 184495 | 184379 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 84755 | 84726 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2039  | 4673 | 4671 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2040  | 18698 | 18650 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2040  | 4986 | 4959 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2041  | 29620 | 29455 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2042  | 762318 | 758856 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2043  | 47620 | 47516 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 332932 | 326164 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 75019 | 73494 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2029  | 3165 | 3189 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2035  | 7813 | 7924 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2041  | 628655 | 638369 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 16779401 | 16730169 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 10993519 | 10954392 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2044  | 2251839 | 2280779 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 8751791 | 8726112 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 5747509 | 5727053 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 5217153 | 5216518 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2043  | 6825 | 6929 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 6150655 | 6132608 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2035  | 1541804 | 1561640 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2038  | 603752 | 609918 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2038  | 272510 | 276213 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2044  | 27731 | 28131 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 118145 | 119976 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 31267 | 31748 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2044  | 30627 | 31086 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2052  | 2303173 | 2310090 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 3849176 | 3898166 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 563628 | 570804 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 55601 | 56462 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 46877 | 47598 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 33737 | 34237 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2044  | 21991 | 22316 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2052  | 884116 | 886219 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 58629 | 59307 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2035  | 992250 | 1005804 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2035  | 16192 | 16427 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2039  | 9672 | 9820 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2040  | 44488 | 45175 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2040  | 12661 | 12857 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2041  | 23437 | 23802 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2041  | 17424 | 17693 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2044  | 46513 | 47195 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2044  | 21812 | 22152 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2041  | 9816 | 9968 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2044  | 52518 | 53271 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2044  | 18163 | 18429 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2040  | 12614 | 12799 |
| Fannie Mae Mortgage pass-thru certificates 5.309% 8/1/2041 (b) | 455822 | 460106 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2055  | 1977806 | 1988473 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2048  | 965564 | 998003 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2048  | 304250 | 314472 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2048  | 1595927 | 1649544 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 2587962 | 2625777 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2049  | 966969 | 998247 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2056  | 18560314 | 18964916 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2049  | 354009 | 365460 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2049  | 82376 | 85040 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2049  | 62612 | 64520 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2054  | 404921 | 407389 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2048  | 400105 | 411621 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2049  | 359322 | 370271 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2053  | 5972595 | 6072930 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 5507549 | 5615132 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 5262722 | 5352365 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 8661251 | 8800664 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2048  | 238824 | 245579 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 18869113 | 19237697 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 7688256 | 7850449 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.313%, 5.563% 5/1/2034 (b)(c) | 23726 | 24145 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.42%, 5.373% 9/1/2033 (b)(c) | 59540 | 60453 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.505%, 5.755% 1/1/2035 (b)(c) | 3885 | 3978 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.51%, 5.76% 2/1/2033 (b)(c) | 67 | 68 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.535%, 5.704% 12/1/2034 (b)(c) | 10895 | 11154 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.535%, 5.785% 3/1/2035 (b)(c) | 9202 | 9433 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.55%, 5.941% 10/1/2033 (b)(c) | 1412 | 1443 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.565%, 5.744% 7/1/2035 (b)(c) | 2029 | 2083 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.96%, 6.365% 9/1/2035 (b)(c) | 3711 | 3847 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 2.5%, 6.625% 3/1/2036 (b)(c) | 39306 | 41134 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2036  | 7463 | 7775 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2036  | 1322 | 1375 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2037  | 1088339 | 1135679 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2038  | 334180 | 349396 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2040  | 337786 | 353694 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2042  | 26710 | 27965 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2055  | 441284 | 455682 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2055  | 176814 | 182707 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2056  | 10640163 | 11032208 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2056  | 8220985 | 8516187 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2056  | 8206592 | 8473426 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 170113 | 176463 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 55116 | 57287 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 8716 | 8880 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 8242 | 8595 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 7501 | 7822 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 5299 | 5531 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 1661 | 1727 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 1257 | 1302 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 834 | 870 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 634 | 661 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 299 | 313 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2037  | 328910 | 343414 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2038  | 94876 | 99256 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2053  | 3735680 | 3888013 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  | 11439199 | 11863367 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 503661 | 522293 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 42500 | 44211 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 42167 | 43433 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 18845 | 19569 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 2430 | 2537 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 1783 | 1861 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 761 | 793 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 670 | 699 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2037  | 22217 | 23295 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2038  | 1067 | 1117 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2038  | 985 | 1032 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 7391721 | 7663497 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 2750020 | 2851992 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 1072779 | 1113228 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2038  | 56470 | 59243 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2038  | 1045 | 1093 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2038  | 651 | 680 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 11166390 | 11552525 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 1720511 | 1788206 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 147550 | 153021 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 143775 | 148978 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 143181 | 148491 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2035  | 590 | 611 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2036  | 142453 | 147583 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2037  | 44976 | 46891 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2038  | 121207 | 126959 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2038  | 34139 | 35491 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2039  | 4009 | 4199 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 6672786 | 6833155 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2055  | 14214877 | 14737525 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2040  | 46069 | 48214 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2032  | 2296 | 2373 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2036  | 2596 | 2704 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2036  | 706 | 738 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2037  | 8744 | 9126 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2040  | 440635 | 461077 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 19819834 | 20283782 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 8928915 | 9240468 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 42295 | 43901 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 5942 | 6197 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 3375 | 3510 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 167 | 174 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 86 | 89 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2036  | 151511 | 157892 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053 (d) | 11314321 | 11709108 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 20931815 | 21421793 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2055  | 5099020 | 5293272 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2055  | 362999 | 376828 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 56965 | 59304 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 8404 | 8736 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 8269 | 8605 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 1110 | 1155 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 498 | 518 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 411 | 428 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2036  | 227 | 232 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2038  | 53501 | 56052 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2041  | 313430 | 328073 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 6488095 | 6732730 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 2011189 | 2081365 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 16123859 | 16721735 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 10709022 | 10959702 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 5731930 | 5948053 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 18437079 | 18887517 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 4028122 | 4161121 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 338321 | 350792 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 160476 | 166244 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 14664 | 15250 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 5621 | 5843 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 3891 | 4046 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 1844 | 1919 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 290 | 302 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 172 | 179 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2037  | 717351 | 742656 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2038  | 179 | 187 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  | 23953419 | 24499157 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  | 8631044 | 8961874 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2055  | 5377435 | 5561598 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2029  | 6992 | 7135 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 76214 | 79367 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 9375 | 9744 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 2764 | 2885 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 1467 | 1529 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 1191 | 1239 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 156 | 161 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2037  | 25574 | 26770 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2038  | 29379 | 30816 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 27037553 | 27653557 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 106440 | 110727 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2036  | 588 | 620 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2036  | 479 | 501 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055  | 2522267 | 2659196 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2035  | 10354 | 10920 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2032  | 2947 | 3057 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2035  | 28962 | 30137 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2036  | 1509 | 1594 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2053  | 6143125 | 6467024 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2053  | 2163771 | 2276302 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2036  | 528 | 555 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2037  | 3192 | 3368 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2054  | 10346192 | 10874724 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 3683221 | 3826201 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2055  | 4412780 | 4648204 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 4/1/2037  | 1111 | 1176 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2035  | 1670 | 1742 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  | 10066413 | 10597168 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 5789823 | 6013674 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 4623949 | 4866303 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2055  | 3348734 | 3529483 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 8968 | 9303 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 2119 | 2198 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 3510 | 3658 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 727 | 766 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 24014362 | 25273025 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 6701776 | 6960886 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 2924899 | 3071575 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2055  | 4202916 | 4432397 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 6025 | 6355 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 1300 | 1371 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 26752 | 27826 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 20962 | 21793 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 4638 | 4832 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2054  | 4141941 | 4357349 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2055  | 6145730 | 6481769 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2055  | 4663584 | 4924411 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2035  | 437 | 461 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 7211330 | 7581973 |
| Fannie Mae Mortgage pass-thru certificates 6.788% 2/1/2039 (b) | 114273 | 118472 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2027  | 481 | 483 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028  | 136 | 142 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028  | 24 | 25 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2029  | 104 | 109 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2032  | 1137 | 1194 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2032  | 263 | 276 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2032  | 162 | 170 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2053  | 183006 | 195561 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 4823792 | 5149453 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2055  | 897048 | 953895 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2055  | 655536 | 698205 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2055  | 567410 | 603766 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2056  | 130021 | 138037 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2026  | 297 | 297 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2027  | 10 | 9 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 9068 | 9520 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 3799 | 3988 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 588 | 617 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 57 | 60 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 34 | 36 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 5682 | 5965 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 477 | 500 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 186 | 195 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 147 | 155 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2031  | 239 | 251 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2032  | 442 | 467 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2032  | 325 | 341 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2055  | 229317 | 244637 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2055  | 197848 | 210414 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2055  | 110018 | 115836 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 479 | 503 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 237 | 248 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 129 | 135 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 128 | 135 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 90 | 94 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 81 | 85 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2029  | 1289 | 1354 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2031  | 8813 | 9253 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2054  | 84172 | 89319 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2055  | 308538 | 324889 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2055  | 178314 | 190227 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2055  | 147437 | 156112 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2055  | 124498 | 131396 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2055  | 116746 | 123854 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2055  | 112589 | 118671 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2055  | 110239 | 116050 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2026  | 213 | 214 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2031  | 1148 | 1205 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2031  | 600 | 630 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2032  | 280 | 294 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 3523059 | 3766961 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 60057 | 63778 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2055  | 175878 | 186392 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2055  | 169019 | 179352 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2055  | 124146 | 130708 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2055  | 112915 | 120278 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2027  | 23 | 23 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 2920 | 3065 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 552 | 580 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 121 | 127 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2029  | 4248 | 4460 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2030  | 622 | 653 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2030  | 35 | 36 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2032  | 320 | 335 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2033  | 2063 | 2177 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2053  | 152147 | 162276 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2054  | 179998 | 190814 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2054  | 82802 | 88118 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2027  | 43 | 43 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2028  | 26 | 27 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2029  | 181 | 190 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 8573 | 9000 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 507 | 532 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 248 | 261 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 98 | 103 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2053  | 54579 | 58324 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2054  | 132962 | 141087 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2055  | 110679 | 117814 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2028  | 70 | 73 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2031  | 248 | 260 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2032  | 687 | 723 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2032  | 467 | 492 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2032  | 41 | 43 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2053  | 124352 | 132631 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2054  | 96800 | 102774 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2055  | 405043 | 428945 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 3 | 2 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 2 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2027  | 14 | 13 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2029  | 5367 | 5635 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2029  | 145 | 152 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2030  | 11322 | 11887 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 375 | 394 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 347 | 365 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 75 | 79 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2053  | 53863 | 57335 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2028  | 2123 | 2229 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2028  | 10 | 10 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2029  | 1389 | 1458 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 7805 | 8211 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 3048 | 3200 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 1591 | 1670 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 707 | 745 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 386 | 406 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2026  | 10 | 9 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2027  | 4 | 3 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2028  | 2253 | 2366 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2028  | 27 | 27 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2029  | 567 | 595 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2029  | 167 | 175 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2029  | 12 | 12 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2031  | 436 | 458 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2031  | 163 | 171 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 1016 | 1070 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 1008 | 1058 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 227 | 239 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 111 | 116 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2037  | 3875 | 4140 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2026  | 347 | 347 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2026  | 10 | 9 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2027  | 722 | 727 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2028  | 237 | 249 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 271 | 285 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 160 | 160 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 86 | 90 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2031  | 749 | 787 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2031  | 95 | 100 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 13123 | 13813 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 3298 | 3470 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  | 95771 | 101930 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2055  | 216045 | 228923 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2055  | 156528 | 166887 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2055  | 151097 | 160167 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2055  | 120194 | 128534 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026  | 620 | 621 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026  | 5 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2027  | 379 | 398 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2027  | 8 | 7 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 610 | 640 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 486 | 510 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 316 | 332 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2029  | 2684 | 2818 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2029  | 90 | 95 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2030  | 2071 | 2174 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 3295 | 3460 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 297 | 311 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 145 | 152 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 73 | 73 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2032  | 2685 | 2829 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2054  | 90013 | 95661 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2055  | 116713 | 123002 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2027  | 417 | 418 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2027  | 7 | 6 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 788 | 800 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 779 | 788 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 567 | 576 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 275 | 280 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 241 | 245 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 141 | 144 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 84 | 86 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 68 | 69 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 23 | 23 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 19 | 19 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 11 | 10 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2030  | 434 | 451 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2026  | 8 | 7 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2026  | 5 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 263 | 268 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 59 | 60 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 56 | 57 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 7 | 6 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2028  | 33 | 34 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2029  | 8172 | 8402 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2029  | 2452 | 2551 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2029  | 303 | 314 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2026  | 5 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 777 | 787 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 204 | 206 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 178 | 180 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 90 | 90 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 38 | 39 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 38 | 39 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 30 | 30 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2028  | 178 | 180 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2029  | 156 | 162 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2029  | 50 | 51 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2031  | 16981 | 17725 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 748 | 763 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 252 | 257 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 182 | 185 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 19 | 19 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2028  | 351 | 358 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2029  | 193 | 198 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2030  | 1159 | 1216 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2027  | 225 | 227 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2027  | 194 | 196 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 133 | 136 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 43 | 44 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 16 | 16 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2030  | 2374 | 2467 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2030  | 994 | 1029 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2030  | 54 | 56 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2031  | 493 | 517 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 935 | 944 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 211 | 216 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2029  | 273 | 276 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2026  | 2 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2028  | 330 | 336 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2029  | 15 | 15 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 763 | 771 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 51 | 52 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 49 | 49 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 27 | 27 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2028  | 532 | 541 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2028  | 81 | 83 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2029  | 542 | 559 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2026  | 69 | 69 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2026  | 5 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 253 | 256 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 42 | 43 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2028  | 1112 | 1139 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2029  | 2645 | 2738 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 118 | 119 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 114 | 115 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 33 | 34 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2029  | 1534 | 1580 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2029  | 136 | 139 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 98 | 99 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 28 | 28 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 18 | 18 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 3 | 2 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 3 | 2 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2028  | 105 | 108 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2028  | 9 | 8 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 5047 | 5224 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 3167 | 3280 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 2353 | 2444 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 2150 | 2222 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 1608 | 1669 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 1268 | 1312 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 1136 | 1180 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 743 | 767 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 265 | 269 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 146 | 149 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 78 | 78 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 42 | 43 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 34 | 35 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2030  | 10828 | 11022 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2030  | 281 | 294 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2026  | 77 | 77 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 544 | 553 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 54 | 55 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 21 | 21 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 834 | 864 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 664 | 690 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 404 | 418 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 65 | 67 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 57 | 59 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 21 | 21 |
| Fannie Mae Mortgage pass-thru certificates 8% 3/1/2037  | 7818 | 8371 |
| Freddie Mac 7% 1/1/2055  | 116143 | 123548 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 7100889 | 6417846 |
| Freddie Mac Gold Pool 1.5% 1/1/2051  | 1121181 | 869737 |
| Freddie Mac Gold Pool 1.5% 10/1/2035  | 9560485 | 8652802 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 8269877 | 7474388 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 7975010 | 7207885 |
| Freddie Mac Gold Pool 1.5% 11/1/2050  | 700089 | 545051 |
| Freddie Mac Gold Pool 1.5% 12/1/2035  | 15470072 | 13981989 |
| Freddie Mac Gold Pool 1.5% 12/1/2040  | 919165 | 782364 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 467832 | 364228 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 105576 | 82295 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  | 1592967 | 1353705 |
| Freddie Mac Gold Pool 1.5% 2/1/2051  | 31076212 | 23990304 |
| Freddie Mac Gold Pool 1.5% 3/1/2041  | 1611100 | 1368066 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 9057100 | 6977775 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 178509 | 139144 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 1648936 | 1398041 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  | 438726 | 341980 |
| Freddie Mac Gold Pool 1.5% 7/1/2035  | 9805930 | 8874945 |
| Freddie Mac Gold Pool 1.5% 8/1/2035  | 6703869 | 6067396 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 2067618 | 1681934 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 1003490 | 816304 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 475073 | 388385 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 334745 | 273663 |
| Freddie Mac Gold Pool 2% 10/1/2041  | 8732642 | 7611400 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 27908373 | 22798409 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 3677411 | 3014427 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 1351513 | 1106165 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 5375232 | 4682956 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 17564079 | 14298734 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 17664 | 14424 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 24318448 | 19865791 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 15340799 | 12517549 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 1813892 | 1484606 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 1125012 | 920782 |
| Freddie Mac Gold Pool 2% 2/1/2041  | 2837487 | 2489736 |
| Freddie Mac Gold Pool 2% 2/1/2042  | 1012680 | 880645 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 3603875 | 2931625 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 36913192 | 30177535 |
| Freddie Mac Gold Pool 2% 3/1/2041  | 1744933 | 1537315 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 6017630 | 4887607 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 358373 | 291747 |
| Freddie Mac Gold Pool 2% 5/1/2041  | 2665940 | 2333882 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 78767146 | 64615809 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 6031704 | 4899038 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 539846 | 439820 |
| Freddie Mac Gold Pool 2% 6/1/2041  | 4453046 | 3895647 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 89492365 | 72910736 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 19252140 | 15787277 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 21019265 | 18407722 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 16347 | 14290 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 1682213 | 1366318 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 480073 | 389923 |
| Freddie Mac Gold Pool 2% 8/1/2050  | 652702 | 534213 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 1202057 | 978582 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 49847693 | 40580488 |
| Freddie Mac Gold Pool 2.5% 1/1/2031  | 47423 | 45989 |
| Freddie Mac Gold Pool 2.5% 1/1/2033  | 45733 | 43887 |
| Freddie Mac Gold Pool 2.5% 1/1/2042  | 8888423 | 7961349 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 5264734 | 4500151 |
| Freddie Mac Gold Pool 2.5% 10/1/2029  | 309257 | 302396 |
| Freddie Mac Gold Pool 2.5% 10/1/2031  | 264197 | 255701 |
| Freddie Mac Gold Pool 2.5% 10/1/2041  | 4301121 | 3857723 |
| Freddie Mac Gold Pool 2.5% 10/1/2050  | 35522010 | 30596354 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  | 1542513 | 1487811 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  | 248994 | 240159 |
| Freddie Mac Gold Pool 2.5% 11/1/2032  | 54795 | 52573 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 6012535 | 5414758 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 1605023 | 1442628 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 799555 | 719888 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 75386999 | 64674325 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 2289739 | 1965793 |
| Freddie Mac Gold Pool 2.5% 12/1/2031  | 1727475 | 1666248 |
| Freddie Mac Gold Pool 2.5% 12/1/2031  | 31070 | 29954 |
| Freddie Mac Gold Pool 2.5% 12/1/2032  | 20144 | 19318 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 12545347 | 10680294 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 1268329 | 1087700 |
| Freddie Mac Gold Pool 2.5% 2/1/2032  | 25574 | 24644 |
| Freddie Mac Gold Pool 2.5% 2/1/2033  | 22320 | 21395 |
| Freddie Mac Gold Pool 2.5% 2/1/2042  | 1126244 | 1016119 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 25254311 | 21728748 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  | 4961978 | 4232059 |
| Freddie Mac Gold Pool 2.5% 4/1/2033  | 349857 | 335361 |
| Freddie Mac Gold Pool 2.5% 4/1/2033  | 164292 | 157261 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 1105233 | 990523 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 2524537 | 2165005 |
| Freddie Mac Gold Pool 2.5% 5/1/2030  | 19767 | 19256 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 3327445 | 2997674 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 2373083 | 2154115 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 21634923 | 18574071 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 2398284 | 2058981 |
| Freddie Mac Gold Pool 2.5% 6/1/2030  | 22899 | 22282 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 419030 | 405744 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 163483 | 158533 |
| Freddie Mac Gold Pool 2.5% 6/1/2041  | 1323952 | 1190090 |
| Freddie Mac Gold Pool 2.5% 7/1/2031  | 713415 | 690803 |
| Freddie Mac Gold Pool 2.5% 7/1/2032  | 2013343 | 1936572 |
| Freddie Mac Gold Pool 2.5% 7/1/2033  | 606571 | 580343 |
| Freddie Mac Gold Pool 2.5% 8/1/2031  | 1207445 | 1168606 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 6930007 | 6222000 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 656934 | 590813 |
| Freddie Mac Gold Pool 2.5% 8/1/2050  | 6736117 | 5802054 |
| Freddie Mac Gold Pool 2.5% 9/1/2032  | 276949 | 266085 |
| Freddie Mac Gold Pool 2.5% 9/1/2032  | 185324 | 179924 |
| Freddie Mac Gold Pool 2.5% 9/1/2041  | 1426279 | 1287999 |
| Freddie Mac Gold Pool 3% 1/1/2033  | 479475 | 465733 |
| Freddie Mac Gold Pool 3% 1/1/2034  | 134380 | 130443 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 143266 | 131217 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 119175 | 109888 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 4449787 | 3938614 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 1440062 | 1274634 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 220175 | 194882 |
| Freddie Mac Gold Pool 3% 10/1/2042  | 46965 | 43209 |
| Freddie Mac Gold Pool 3% 10/1/2045  | 11928 | 10806 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 4228359 | 3767729 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 122851 | 109468 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 13317110 | 11849721 |
| Freddie Mac Gold Pool 3% 11/1/2042  | 119998 | 110773 |
| Freddie Mac Gold Pool 3% 11/1/2042  | 48526 | 44915 |
| Freddie Mac Gold Pool 3% 11/1/2045  | 717227 | 649169 |
| Freddie Mac Gold Pool 3% 11/1/2045  | 240483 | 217810 |
| Freddie Mac Gold Pool 3% 11/1/2049  | 8473754 | 7595655 |
| Freddie Mac Gold Pool 3% 11/1/2049  | 253636 | 226006 |
| Freddie Mac Gold Pool 3% 11/1/2050  | 925872 | 822116 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 2128186 | 1886369 |
| Freddie Mac Gold Pool 3% 12/1/2030  | 316291 | 309579 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 429349 | 419260 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 81438 | 79319 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 2049090 | 1890522 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 183049 | 168918 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 67936 | 62623 |
| Freddie Mac Gold Pool 3% 12/1/2045  | 387899 | 351490 |
| Freddie Mac Gold Pool 3% 12/1/2046  | 4540799 | 4100762 |
| Freddie Mac Gold Pool 3% 12/1/2049  | 437551 | 389885 |
| Freddie Mac Gold Pool 3% 12/1/2049  | 5442 | 4850 |
| Freddie Mac Gold Pool 3% 12/1/2050  | 7508883 | 6667413 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 301054 | 295018 |
| Freddie Mac Gold Pool 3% 2/1/2034  | 16705 | 16176 |
| Freddie Mac Gold Pool 3% 2/1/2037  | 590202 | 561569 |
| Freddie Mac Gold Pool 3% 2/1/2037  | 31152 | 29660 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 654335 | 605031 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 142315 | 131726 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 106393 | 98047 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 103122 | 94920 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 69124 | 63800 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 68891 | 63356 |
| Freddie Mac Gold Pool 3% 2/1/2050  | 9588377 | 8579793 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 761259 | 674285 |
| Freddie Mac Gold Pool 3% 3/1/2033  | 100804 | 98034 |
| Freddie Mac Gold Pool 3% 3/1/2043  | 71755 | 66161 |
| Freddie Mac Gold Pool 3% 3/1/2045  | 26730 | 24228 |
| Freddie Mac Gold Pool 3% 3/1/2050  | 7640781 | 6808408 |
| Freddie Mac Gold Pool 3% 3/1/2051  | 34822 | 30974 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 2256386 | 1997182 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 49139 | 48056 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 16304 | 15935 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 1051767 | 1020582 |
| Freddie Mac Gold Pool 3% 4/1/2043  | 29936 | 27618 |
| Freddie Mac Gold Pool 3% 4/1/2045  | 170592 | 155668 |
| Freddie Mac Gold Pool 3% 4/1/2045  | 13952 | 12638 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 260784 | 235757 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 236377 | 213692 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 13810405 | 12357713 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 7692485 | 6854479 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 8593 | 7644 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 98092 | 89193 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 97579 | 88717 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 56022 | 51006 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 33190 | 30176 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 4199362 | 3796350 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 642182 | 580552 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 2008735 | 1784257 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 370166 | 362231 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 143853 | 140859 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 85671 | 83808 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 47161 | 46232 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 45000 | 43995 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 34752 | 33966 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 30218 | 29622 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 675271 | 615012 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 235380 | 215213 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 92736 | 84780 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 30243 | 27651 |
| Freddie Mac Gold Pool 3% 6/1/2046  | 4137637 | 3740549 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 14109820 | 12643271 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 26328 | 23394 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 7242773 | 6410754 |
| Freddie Mac Gold Pool 3% 7/1/2032  | 79748 | 77801 |
| Freddie Mac Gold Pool 3% 7/1/2043  | 2996906 | 2760081 |
| Freddie Mac Gold Pool 3% 7/1/2043  | 749671 | 689454 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 206680 | 188253 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 165183 | 149953 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 71679 | 66568 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 73121 | 66304 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 28338 | 25909 |
| Freddie Mac Gold Pool 3% 7/1/2051  | 647066 | 573543 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 108734 | 106081 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 63113 | 61572 |
| Freddie Mac Gold Pool 3% 8/1/2042  | 26835 | 24820 |
| Freddie Mac Gold Pool 3% 8/1/2042  | 20689 | 19064 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 175896 | 159887 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 114280 | 103911 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 105347 | 96349 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 72518 | 66526 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 38683 | 35370 |
| Freddie Mac Gold Pool 3% 9/1/2049  | 61107 | 54889 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 1885040 | 1672618 |
| Freddie Mac Gold Pool 3.5% 1/1/2043  | 17589 | 16528 |
| Freddie Mac Gold Pool 3.5% 1/1/2044  | 3363348 | 3183471 |
| Freddie Mac Gold Pool 3.5% 1/1/2044  | 1689814 | 1595463 |
| Freddie Mac Gold Pool 3.5% 1/1/2045  | 221363 | 209272 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 522623 | 487616 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 137165 | 128265 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 24268 | 22703 |
| Freddie Mac Gold Pool 3.5% 1/1/2052  | 414969 | 381982 |
| Freddie Mac Gold Pool 3.5% 10/1/2034  | 2346244 | 2295751 |
| Freddie Mac Gold Pool 3.5% 10/1/2040  | 199807 | 189469 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 378267 | 357713 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 53808 | 50804 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 97937 | 91682 |
| Freddie Mac Gold Pool 3.5% 10/1/2050  | 332739 | 307225 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 8324844 | 7670889 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 2754583 | 2550250 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 941068 | 862732 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 4415890 | 4298119 |
| Freddie Mac Gold Pool 3.5% 11/1/2040  | 416162 | 395592 |
| Freddie Mac Gold Pool 3.5% 11/1/2045  | 53858 | 50435 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 718446 | 672560 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 576194 | 538609 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 215361 | 200505 |
| Freddie Mac Gold Pool 3.5% 12/1/2029  | 9691 | 9631 |
| Freddie Mac Gold Pool 3.5% 12/1/2033  | 557693 | 547159 |
| Freddie Mac Gold Pool 3.5% 12/1/2040  | 399958 | 380084 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  | 445291 | 415271 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 165512 | 154838 |
| Freddie Mac Gold Pool 3.5% 12/1/2051  | 1407727 | 1296264 |
| Freddie Mac Gold Pool 3.5% 2/1/2030  | 22889 | 22716 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 6453874 | 6333524 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 3430155 | 3327150 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 4555389 | 4301610 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 666107 | 631220 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 250364 | 237930 |
| Freddie Mac Gold Pool 3.5% 2/1/2045  | 36319 | 34267 |
| Freddie Mac Gold Pool 3.5% 2/1/2046  | 7146 | 6666 |
| Freddie Mac Gold Pool 3.5% 2/1/2051  | 510074 | 470165 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 3488507 | 3221010 |
| Freddie Mac Gold Pool 3.5% 3/1/2032  | 3319503 | 3268978 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 1144639 | 1072474 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 313475 | 294389 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 247100 | 231950 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 100234 | 94823 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 2400927 | 2249815 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 21100 | 19688 |
| Freddie Mac Gold Pool 3.5% 3/1/2050  | 8533 | 7826 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 14694850 | 13563463 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 8116471 | 7488777 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 7636997 | 7041849 |
| Freddie Mac Gold Pool 3.5% 4/1/2040  | 493402 | 469502 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 5459554 | 5191290 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 139080 | 131859 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 914713 | 863400 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 396234 | 374010 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 297300 | 281028 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 26805 | 25186 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 1503854 | 1406698 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 1502576 | 1401746 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 71182 | 66583 |
| Freddie Mac Gold Pool 3.5% 4/1/2047  | 4989024 | 4614263 |
| Freddie Mac Gold Pool 3.5% 4/1/2050  | 17186 | 15884 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 5311818 | 4932729 |
| Freddie Mac Gold Pool 3.5% 5/1/2030  | 47336 | 46950 |
| Freddie Mac Gold Pool 3.5% 5/1/2030  | 23520 | 23328 |
| Freddie Mac Gold Pool 3.5% 5/1/2030  | 12287 | 12192 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  | 649885 | 636605 |
| Freddie Mac Gold Pool 3.5% 5/1/2038  | 481069 | 464476 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 916635 | 872581 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 135566 | 129005 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 3350738 | 3134549 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 149179 | 139615 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 75206 | 70501 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 33346 | 31612 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 11592432 | 10851516 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 26031 | 24316 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 7018 | 6564 |
| Freddie Mac Gold Pool 3.5% 5/1/2047  | 3309851 | 3061225 |
| Freddie Mac Gold Pool 3.5% 6/1/2030  | 25969 | 25757 |
| Freddie Mac Gold Pool 3.5% 6/1/2030  | 14720 | 14576 |
| Freddie Mac Gold Pool 3.5% 6/1/2032  | 5599561 | 5511035 |
| Freddie Mac Gold Pool 3.5% 6/1/2040  | 832842 | 794043 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 4406904 | 4133506 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 3998909 | 3744880 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 661837 | 621227 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 239353 | 224657 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 48595 | 45622 |
| Freddie Mac Gold Pool 3.5% 6/1/2050  | 6735748 | 6225568 |
| Freddie Mac Gold Pool 3.5% 6/1/2051  | 549809 | 507306 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 727079 | 715734 |
| Freddie Mac Gold Pool 3.5% 7/1/2040  | 79466 | 75500 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 2856500 | 2699786 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 144056 | 134389 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 36330 | 33983 |
| Freddie Mac Gold Pool 3.5% 7/1/2047  | 1730450 | 1621012 |
| Freddie Mac Gold Pool 3.5% 7/1/2051  | 21277350 | 19632513 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  | 1098547 | 1075641 |
| Freddie Mac Gold Pool 3.5% 8/1/2040  | 534489 | 508714 |
| Freddie Mac Gold Pool 3.5% 8/1/2042  | 181965 | 172067 |
| Freddie Mac Gold Pool 3.5% 8/1/2045  | 4491 | 4196 |
| Freddie Mac Gold Pool 3.5% 8/1/2046  | 14003 | 13138 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 2679680 | 2508537 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 318031 | 297719 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 202128 | 189219 |
| Freddie Mac Gold Pool 3.5% 8/1/2051  | 3779994 | 3500777 |
| Freddie Mac Gold Pool 3.5% 8/1/2051  | 656435 | 605280 |
| Freddie Mac Gold Pool 3.5% 9/1/2040  | 363143 | 346386 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 6317514 | 5964380 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 3554635 | 3354223 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 21498 | 20295 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 10020977 | 9376011 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 1184410 | 1104560 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 53911 | 50468 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 44306 | 41477 |
| Freddie Mac Gold Pool 3.5% 9/1/2051  | 2709096 | 2497977 |
| Freddie Mac Gold Pool 4% 1/1/2036  | 3766447 | 3729680 |
| Freddie Mac Gold Pool 4% 1/1/2039  | 114487 | 112404 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 1348017 | 1316153 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 65074 | 63685 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 16506 | 16105 |
| Freddie Mac Gold Pool 4% 1/1/2042  | 466898 | 454856 |
| Freddie Mac Gold Pool 4% 1/1/2043  | 35239 | 34155 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 105643 | 101859 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 81342 | 78583 |
| Freddie Mac Gold Pool 4% 10/1/2040  | 21103 | 20594 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 1567759 | 1528287 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 152852 | 149065 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 129222 | 126002 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 53846 | 52328 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 26203 | 25684 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 18547 | 17928 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 263914 | 254854 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 88199 | 85046 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 37850 | 36509 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 34816 | 33821 |
| Freddie Mac Gold Pool 4% 10/1/2044  | 186860 | 179933 |
| Freddie Mac Gold Pool 4% 10/1/2045  | 69424 | 67063 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 2766195 | 2639266 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 596800 | 581078 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 17571 | 17264 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 7748 | 7556 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 2999725 | 2925307 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 1842622 | 1795793 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 231188 | 224729 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 201687 | 195709 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 124750 | 121265 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 69078 | 66983 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 6400 | 6318 |
| Freddie Mac Gold Pool 4% 11/1/2043  | 5522 | 5367 |
| Freddie Mac Gold Pool 4% 11/1/2047  | 1438990 | 1375076 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 67591 | 66000 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 33010 | 32275 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 12910 | 12609 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 5359 | 5235 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 101268 | 98203 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 56095 | 54751 |
| Freddie Mac Gold Pool 4% 12/1/2045  | 18151 | 17466 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 2284666 | 2183191 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 1276604 | 1245650 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 1161905 | 1134660 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 355689 | 346804 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 478308 | 465726 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 192274 | 187611 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 188419 | 182828 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 144305 | 139479 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 113494 | 109628 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 62299 | 60189 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 113618 | 109782 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 58234 | 56511 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 56777 | 54707 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 2258740 | 2179617 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 546988 | 527763 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 22430 | 21669 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 12174 | 11946 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 1484774 | 1420219 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 160458 | 153682 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 205357 | 199566 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 200668 | 195570 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 19520 | 18935 |
| Freddie Mac Gold Pool 4% 3/1/2043  | 59472 | 57972 |
| Freddie Mac Gold Pool 4% 3/1/2043  | 38114 | 36833 |
| Freddie Mac Gold Pool 4% 3/1/2044  | 125560 | 121102 |
| Freddie Mac Gold Pool 4% 4/1/2040  | 2395 | 2357 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 1247464 | 1212464 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 959283 | 934842 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 37031 | 35919 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 36224 | 35139 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 32761 | 32023 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 26072 | 25473 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 3110104 | 3024796 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 100296 | 97438 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 34747 | 34052 |
| Freddie Mac Gold Pool 4% 4/1/2046  | 780009 | 749265 |
| Freddie Mac Gold Pool 4% 4/1/2046  | 163001 | 156576 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 516868 | 494396 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 439627 | 420238 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 238742 | 228213 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 89273 | 85336 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 26372 | 25209 |
| Freddie Mac Gold Pool 4% 5/1/2042  | 152263 | 148664 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 123313 | 119153 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 42738 | 41248 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 41765 | 40321 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 38644 | 37305 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 12710 | 12300 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 748490 | 729790 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 197672 | 190035 |
| Freddie Mac Gold Pool 4% 6/1/2038  | 59113 | 58130 |
| Freddie Mac Gold Pool 4% 6/1/2038  | 43926 | 43196 |
| Freddie Mac Gold Pool 4% 6/1/2041  | 49360 | 48055 |
| Freddie Mac Gold Pool 4% 6/1/2041  | 7411 | 7336 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 113346 | 110535 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 64052 | 61854 |
| Freddie Mac Gold Pool 4% 6/1/2044  | 44796 | 43460 |
| Freddie Mac Gold Pool 4% 6/1/2045  | 129930 | 125177 |
| Freddie Mac Gold Pool 4% 7/1/2041  | 205319 | 199947 |
| Freddie Mac Gold Pool 4% 7/1/2042  | 1932277 | 1876505 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 242677 | 234510 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 200197 | 194360 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 110643 | 107413 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 69967 | 67542 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 61877 | 59707 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 52380 | 50546 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 23107 | 22308 |
| Freddie Mac Gold Pool 4% 7/1/2044  | 143469 | 139982 |
| Freddie Mac Gold Pool 4% 7/1/2044  | 95429 | 92033 |
| Freddie Mac Gold Pool 4% 7/1/2044  | 94419 | 90970 |
| Freddie Mac Gold Pool 4% 7/1/2044  | 24183 | 23293 |
| Freddie Mac Gold Pool 4% 7/1/2045  | 321647 | 309702 |
| Freddie Mac Gold Pool 4% 8/1/2038  | 300379 | 295382 |
| Freddie Mac Gold Pool 4% 8/1/2038  | 223707 | 219985 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 116857 | 112884 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 94747 | 92390 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 69411 | 67750 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 34271 | 33275 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 21088 | 20351 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 29133 | 28359 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 28118 | 27119 |
| Freddie Mac Gold Pool 4% 9/1/2040  | 33381 | 32593 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 272515 | 265765 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 265826 | 259235 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 144508 | 141190 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 37222 | 36408 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 780116 | 759505 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 146331 | 142889 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 187873 | 182220 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 176202 | 170788 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 168301 | 163244 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 148238 | 143173 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 145371 | 140278 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 101399 | 98357 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 51155 | 49332 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 4193 | 4142 |
| Freddie Mac Gold Pool 4% 9/1/2044  | 106683 | 103026 |
| Freddie Mac Gold Pool 4.5% 1/1/2040  | 42913 | 42814 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 622785 | 620901 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 67012 | 66853 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 37854 | 37740 |
| Freddie Mac Gold Pool 4.5% 1/1/2042  | 1342955 | 1338569 |
| Freddie Mac Gold Pool 4.5% 1/1/2045  | 50731 | 50125 |
| Freddie Mac Gold Pool 4.5% 1/1/2047  | 116784 | 114878 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 265035 | 264367 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 63982 | 63789 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 25046 | 24986 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 127252 | 126808 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 112984 | 112551 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  | 619669 | 617260 |
| Freddie Mac Gold Pool 4.5% 10/1/2043  | 75379 | 74832 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 1078893 | 1061623 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 413393 | 403933 |
| Freddie Mac Gold Pool 4.5% 11/1/2031  | 7843 | 7853 |
| Freddie Mac Gold Pool 4.5% 11/1/2039  | 2059 | 2054 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 32021 | 31917 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 5986 | 5968 |
| Freddie Mac Gold Pool 4.5% 11/1/2044  | 394749 | 391577 |
| Freddie Mac Gold Pool 4.5% 11/1/2044  | 14800 | 14695 |
| Freddie Mac Gold Pool 4.5% 12/1/2039  | 1061 | 1058 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 48219 | 48038 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 41928 | 41765 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 2664 | 2654 |
| Freddie Mac Gold Pool 4.5% 12/1/2044  | 89646 | 88912 |
| Freddie Mac Gold Pool 4.5% 12/1/2044  | 15012 | 14905 |
| Freddie Mac Gold Pool 4.5% 12/1/2045  | 366287 | 365444 |
| Freddie Mac Gold Pool 4.5% 12/1/2046  | 118598 | 116662 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  | 2297200 | 2251095 |
| Freddie Mac Gold Pool 4.5% 2/1/2037  | 2961 | 2962 |
| Freddie Mac Gold Pool 4.5% 2/1/2040  | 8205 | 8185 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 194789 | 194190 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 136923 | 136471 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 128723 | 128305 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 98689 | 98407 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 94446 | 94039 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 83991 | 83790 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 58979 | 58745 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 55093 | 54867 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 10351 | 10337 |
| Freddie Mac Gold Pool 4.5% 2/1/2044  | 36511 | 36282 |
| Freddie Mac Gold Pool 4.5% 2/1/2047  | 490932 | 482153 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 744203 | 741646 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 540580 | 538786 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 118072 | 117633 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 75205 | 74944 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 53948 | 53788 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 14246 | 14199 |
| Freddie Mac Gold Pool 4.5% 3/1/2042  | 5151 | 5135 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 28267 | 28063 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 1229892 | 1225722 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 1003507 | 1000048 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 128386 | 127825 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 125010 | 124534 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 7864 | 7830 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 2626 | 2617 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 314181 | 307303 |
| Freddie Mac Gold Pool 4.5% 5/1/2035  | 21961 | 21972 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 311864 | 311480 |
| Freddie Mac Gold Pool 4.5% 5/1/2040  | 6573 | 6555 |
| Freddie Mac Gold Pool 4.5% 5/1/2040  | 3958 | 3954 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 134377 | 133785 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 89739 | 89425 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 29673 | 29573 |
| Freddie Mac Gold Pool 4.5% 5/1/2045  | 421646 | 416610 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 1367714 | 1343256 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 1006529 | 988530 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 471372 | 462943 |
| Freddie Mac Gold Pool 4.5% 6/1/2038  | 26681 | 26695 |
| Freddie Mac Gold Pool 4.5% 6/1/2039  | 8836 | 8812 |
| Freddie Mac Gold Pool 4.5% 6/1/2040  | 14140 | 14103 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 123168 | 122880 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 95739 | 95348 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 60129 | 59897 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 50536 | 50405 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 40867 | 40830 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 22499 | 22413 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 5791 | 5769 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 1962236 | 1927146 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 270089 | 265428 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 98812 | 98565 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 43964 | 43812 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 37909 | 37791 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 1647 | 1642 |
| Freddie Mac Gold Pool 4.5% 7/1/2041  | 26664 | 26573 |
| Freddie Mac Gold Pool 4.5% 7/1/2044  | 8620 | 8555 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 831812 | 816417 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 488236 | 481031 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 216736 | 212928 |
| Freddie Mac Gold Pool 4.5% 8/1/2033  | 9940 | 9949 |
| Freddie Mac Gold Pool 4.5% 8/1/2035  | 2642 | 2644 |
| Freddie Mac Gold Pool 4.5% 8/1/2035  | 323 | 323 |
| Freddie Mac Gold Pool 4.5% 8/1/2039  | 1625 | 1621 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 33723 | 33618 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 20095 | 20029 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 5217 | 5200 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 3174 | 3164 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 438222 | 436752 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 36972 | 36863 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 35312 | 35165 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 34909 | 34795 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 126533 | 126479 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 1958 | 1953 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 375 | 375 |
| Freddie Mac Gold Pool 4.5% 9/1/2040  | 62513 | 62319 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 773597 | 770851 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 601703 | 599709 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 574897 | 573291 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 47141 | 46992 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 29502 | 29402 |
| Freddie Mac Gold Pool 5% 1/1/2035  | 230694 | 233948 |
| Freddie Mac Gold Pool 5% 1/1/2037  | 10460 | 10622 |
| Freddie Mac Gold Pool 5% 1/1/2040  | 155573 | 158151 |
| Freddie Mac Gold Pool 5% 1/1/2041  | 21255 | 21615 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 7225914 | 7200197 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 27280 | 27665 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 19786 | 20057 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 849 | 861 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 264 | 268 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 14091143 | 14049798 |
| Freddie Mac Gold Pool 5% 11/1/2034  | 95 | 95 |
| Freddie Mac Gold Pool 5% 11/1/2035  | 16200 | 16454 |
| Freddie Mac Gold Pool 5% 11/1/2037  | 1274 | 1294 |
| Freddie Mac Gold Pool 5% 11/1/2040  | 15094 | 15347 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 16206226 | 16158675 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 3166159 | 3165774 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 12362 | 12540 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 11277 | 11437 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 3228 | 3272 |
| Freddie Mac Gold Pool 5% 12/1/2034  | 1625 | 1650 |
| Freddie Mac Gold Pool 5% 12/1/2035  | 43423 | 44111 |
| Freddie Mac Gold Pool 5% 12/1/2039  | 3754 | 3817 |
| Freddie Mac Gold Pool 5% 12/1/2052 (f) | 7432979 | 7411170 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 2125151 | 2117587 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 1865416 | 1859942 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 1720196 | 1714074 |
| Freddie Mac Gold Pool 5% 2/1/2035  | 26024 | 26356 |
| Freddie Mac Gold Pool 5% 2/1/2040  | 24850 | 25269 |
| Freddie Mac Gold Pool 5% 2/1/2041  | 47847 | 48659 |
| Freddie Mac Gold Pool 5% 2/1/2041  | 17581 | 17879 |
| Freddie Mac Gold Pool 5% 3/1/2038  | 1798124 | 1823906 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 99121 | 100802 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 97694 | 99340 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 11579 | 11663 |
| Freddie Mac Gold Pool 5% 4/1/2034  | 9171 | 9307 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 62942 | 63852 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 24108 | 24481 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 16802 | 17061 |
| Freddie Mac Gold Pool 5% 4/1/2036  | 140194 | 142380 |
| Freddie Mac Gold Pool 5% 4/1/2038  | 164868 | 167589 |
| Freddie Mac Gold Pool 5% 4/1/2040  | 246567 | 250708 |
| Freddie Mac Gold Pool 5% 4/1/2041  | 33650 | 34222 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 10980 | 11134 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 5363 | 5438 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 3927 | 3986 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 769 | 779 |
| Freddie Mac Gold Pool 5% 5/1/2035  | 61769 | 62716 |
| Freddie Mac Gold Pool 5% 5/1/2035  | 1519 | 1539 |
| Freddie Mac Gold Pool 5% 5/1/2040  | 36299 | 36900 |
| Freddie Mac Gold Pool 5% 5/1/2041  | 86295 | 87760 |
| Freddie Mac Gold Pool 5% 5/1/2052  | 365634 | 366503 |
| Freddie Mac Gold Pool 5% 6/1/2035  | 11493 | 11664 |
| Freddie Mac Gold Pool 5% 6/1/2035  | 5133 | 5213 |
| Freddie Mac Gold Pool 5% 6/1/2038  | 3607 | 3667 |
| Freddie Mac Gold Pool 5% 6/1/2038  | 3366 | 3422 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 136363 | 138645 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 93179 | 94734 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 3854424 | 3919414 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 107454 | 109277 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 7022480 | 7028209 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 1047506 | 1049997 |
| Freddie Mac Gold Pool 5% 7/1/2034  | 144 | 147 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 400063 | 406049 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 54211 | 55057 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 2981 | 3027 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 1950 | 1980 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 930 | 945 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 585 | 594 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 582 | 591 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 330 | 335 |
| Freddie Mac Gold Pool 5% 7/1/2040  | 18200 | 18504 |
| Freddie Mac Gold Pool 5% 7/1/2040  | 1063 | 1081 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 97111 | 98759 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 70635 | 71809 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 66513 | 67642 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 44488 | 45239 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 43869 | 44610 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 41704 | 42222 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 27122 | 27537 |
| Freddie Mac Gold Pool 5% 8/1/2033  | 6609 | 6703 |
| Freddie Mac Gold Pool 5% 8/1/2033  | 2125 | 2154 |
| Freddie Mac Gold Pool 5% 8/1/2034  | 97087 | 98500 |
| Freddie Mac Gold Pool 5% 8/1/2035  | 7136 | 7242 |
| Freddie Mac Gold Pool 5% 8/1/2035  | 1036 | 1052 |
| Freddie Mac Gold Pool 5% 8/1/2036  | 2287 | 2323 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 195063 | 198341 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 3972 | 4038 |
| Freddie Mac Gold Pool 5% 9/1/2033  | 22458 | 22766 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 39736 | 40361 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 2329 | 2364 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 255 | 259 |
| Freddie Mac Gold Pool 5% 9/1/2052  | 1554952 | 1544437 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 2368125 | 2380896 |
| Freddie Mac Gold Pool 5.5% 1/1/2056  | 30349963 | 30913410 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 1752761 | 1767828 |
| Freddie Mac Gold Pool 5.5% 3/1/2053 (d)(e)(h) | 30914894 | 31550174 |
| Freddie Mac Gold Pool 5.5% 5/1/2053  | 5609208 | 5701686 |
| Freddie Mac Gold Pool 5.5% 5/1/2055  | 392889 | 395874 |
| Freddie Mac Gold Pool 6% 1/1/2029  | 283 | 289 |
| Freddie Mac Gold Pool 6% 1/1/2029  | 55 | 56 |
| Freddie Mac Gold Pool 6% 1/1/2032  | 5550 | 5717 |
| Freddie Mac Gold Pool 6% 1/1/2032  | 3417 | 3520 |
| Freddie Mac Gold Pool 6% 10/1/2032  | 2708 | 2797 |
| Freddie Mac Gold Pool 6% 11/1/2029  | 233 | 238 |
| Freddie Mac Gold Pool 6% 11/1/2031  | 3658 | 3770 |
| Freddie Mac Gold Pool 6% 11/1/2032  | 30619 | 31578 |
| Freddie Mac Gold Pool 6% 12/1/2032  | 1445 | 1491 |
| Freddie Mac Gold Pool 6% 12/1/2037  | 82223 | 86278 |
| Freddie Mac Gold Pool 6% 12/1/2037  | 22564 | 23630 |
| Freddie Mac Gold Pool 6% 12/1/2052  | 1265034 | 1310360 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 162 | 165 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 124 | 126 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 71 | 72 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 12384689 | 12871007 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 5723027 | 5937027 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 3811355 | 3952681 |
| Freddie Mac Gold Pool 6% 2/1/2056  | 8373269 | 8651358 |
| Freddie Mac Gold Pool 6% 3/1/2029  | 220 | 224 |
| Freddie Mac Gold Pool 6% 3/1/2029  | 63 | 65 |
| Freddie Mac Gold Pool 6% 3/1/2029  | 52 | 53 |
| Freddie Mac Gold Pool 6% 3/1/2056  | 1595711 | 1652512 |
| Freddie Mac Gold Pool 6% 4/1/2029  | 28 | 28 |
| Freddie Mac Gold Pool 6% 4/1/2031  | 2829 | 2907 |
| Freddie Mac Gold Pool 6% 4/1/2033  | 9608 | 9921 |
| Freddie Mac Gold Pool 6% 4/1/2040  | 8719340 | 8988344 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 11730260 | 12168886 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 581575 | 600137 |
| Freddie Mac Gold Pool 6% 5/1/2029  | 93 | 95 |
| Freddie Mac Gold Pool 6% 5/1/2033  | 66669 | 68544 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 17366631 | 18021443 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 1135 | 1157 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 216 | 220 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 74 | 76 |
| Freddie Mac Gold Pool 6% 6/1/2031  | 982 | 1010 |
| Freddie Mac Gold Pool 6% 7/1/2028  | 22 | 22 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 380 | 387 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 201 | 205 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 181 | 184 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 168 | 171 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 165 | 169 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 119 | 122 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 24 | 24 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 18 | 18 |
| Freddie Mac Gold Pool 6% 7/1/2032  | 7307 | 7519 |
| Freddie Mac Gold Pool 6% 7/1/2033  | 9498 | 9831 |
| Freddie Mac Gold Pool 6% 7/1/2037  | 12291 | 12873 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 21651644 | 22339926 |
| Freddie Mac Gold Pool 6% 8/1/2037  | 187535 | 196021 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 17058915 | 17692795 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 13871867 | 14361313 |
| Freddie Mac Gold Pool 6% 9/1/2033  | 56187 | 58100 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 10404176 | 10796468 |
| Freddie Mac Gold Pool 6.5% 1/1/2032  | 22724 | 23559 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 14550303 | 15293601 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 5180136 | 5442253 |
| Freddie Mac Gold Pool 6.5% 10/1/2032  | 21396 | 22272 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 3943318 | 4145993 |
| Freddie Mac Gold Pool 6.5% 12/1/2053  | 1978712 | 2081618 |
| Freddie Mac Gold Pool 6.5% 2/1/2037  | 1431 | 1479 |
| Freddie Mac Gold Pool 6.5% 2/1/2056 (g) | 11038438 | 11662701 |
| Freddie Mac Gold Pool 6.5% 3/1/2032  | 51 | 53 |
| Freddie Mac Gold Pool 6.5% 3/1/2036  | 191942 | 199544 |
| Freddie Mac Gold Pool 6.5% 3/1/2037  | 2148 | 2276 |
| Freddie Mac Gold Pool 6.5% 4/1/2032  | 2093 | 2174 |
| Freddie Mac Gold Pool 6.5% 5/1/2055  | 32615193 | 34281330 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 12481593 | 13135790 |
| Freddie Mac Gold Pool 6.5% 7/1/2032  | 549 | 571 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 7989 | 8302 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 5561 | 5784 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 5341 | 5557 |
| Freddie Mac Gold Pool 6.5% 9/1/2039  | 459437 | 487193 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 503452 | 529997 |
| Freddie Mac Gold Pool 7% 1/1/2036  | 11219 | 11779 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 181750 | 192856 |
| Freddie Mac Gold Pool 7% 10/1/2055  | 177674 | 189475 |
| Freddie Mac Gold Pool 7% 10/1/2055  | 125593 | 133944 |
| Freddie Mac Gold Pool 7% 10/1/2055  | 94486 | 100769 |
| Freddie Mac Gold Pool 7% 11/1/2026  | 224 | 225 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 18750 | 19685 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 16634 | 17549 |
| Freddie Mac Gold Pool 7% 11/1/2055  | 1117108 | 1193486 |
| Freddie Mac Gold Pool 7% 11/1/2055  | 901987 | 964502 |
| Freddie Mac Gold Pool 7% 11/1/2055  | 716447 | 767781 |
| Freddie Mac Gold Pool 7% 11/1/2055  | 455098 | 488560 |
| Freddie Mac Gold Pool 7% 11/1/2055  | 263331 | 279072 |
| Freddie Mac Gold Pool 7% 11/1/2055  | 199876 | 212096 |
| Freddie Mac Gold Pool 7% 11/1/2055  | 184231 | 195322 |
| Freddie Mac Gold Pool 7% 11/1/2055  | 108816 | 115498 |
| Freddie Mac Gold Pool 7% 11/1/2055  | 105488 | 111052 |
| Freddie Mac Gold Pool 7% 12/1/2026  | 273 | 274 |
| Freddie Mac Gold Pool 7% 12/1/2053  | 87870 | 93434 |
| Freddie Mac Gold Pool 7% 12/1/2053  | 72358 | 76949 |
| Freddie Mac Gold Pool 7% 12/1/2054  | 125292 | 131996 |
| Freddie Mac Gold Pool 7% 12/1/2055  | 125340 | 131982 |
| Freddie Mac Gold Pool 7% 3/1/2054  | 110172 | 116301 |
| Freddie Mac Gold Pool 7% 3/1/2054  | 93018 | 98286 |
| Freddie Mac Gold Pool 7% 3/1/2054  | 83107 | 87814 |
| Freddie Mac Gold Pool 7% 4/1/2032  | 6637 | 6968 |
| Freddie Mac Gold Pool 7% 5/1/2055  | 152122 | 161190 |
| Freddie Mac Gold Pool 7% 7/1/2029  | 26153 | 27457 |
| Freddie Mac Gold Pool 7% 7/1/2054  | 82168 | 87278 |
| Freddie Mac Gold Pool 7% 7/1/2054  | 72291 | 76703 |
| Freddie Mac Gold Pool 7% 8/1/2026  | 449 | 450 |
| Freddie Mac Gold Pool 7% 8/1/2054  | 184505 | 195477 |
| Freddie Mac Gold Pool 7% 9/1/2026  | 982 | 984 |
| Freddie Mac Gold Pool 7% 9/1/2035  | 47053 | 49428 |
| Freddie Mac Gold Pool 7% 9/1/2055  | 118013 | 125944 |
| Freddie Mac Gold Pool 7.5% 1/1/2027  | 975 | 980 |
| Freddie Mac Gold Pool 7.5% 10/1/2027  | 50 | 51 |
| Freddie Mac Gold Pool 7.5% 10/1/2030  | 75 | 78 |
| Freddie Mac Gold Pool 7.5% 11/1/2029  | 5700 | 5917 |
| Freddie Mac Gold Pool 7.5% 11/1/2030  | 7204 | 7449 |
| Freddie Mac Gold Pool 7.5% 11/1/2030  | 261 | 274 |
| Freddie Mac Gold Pool 7.5% 11/1/2030  | 11 | 11 |
| Freddie Mac Gold Pool 7.5% 11/1/2031  | 368 | 390 |
| Freddie Mac Gold Pool 7.5% 12/1/2029  | 1207 | 1247 |
| Freddie Mac Gold Pool 7.5% 2/1/2027  | 1 | 1 |
| Freddie Mac Gold Pool 7.5% 3/1/2027  | 7 | 7 |
| Freddie Mac Gold Pool 7.5% 4/1/2028  | 75 | 76 |
| Freddie Mac Gold Pool 7.5% 5/1/2031  | 265 | 278 |
| Freddie Mac Gold Pool 7.5% 6/1/2027  | 72 | 73 |
| Freddie Mac Gold Pool 7.5% 6/1/2032  | 4446 | 4703 |
| Freddie Mac Gold Pool 7.5% 7/1/2026  | 12 | 12 |
| Freddie Mac Gold Pool 7.5% 8/1/2026  | 6 | 6 |
| Freddie Mac Gold Pool 7.5% 9/1/2030  | 295 | 307 |
| Freddie Mac Gold Pool 7.5% 9/1/2030  | 38 | 40 |
| Freddie Mac Gold Pool 7.5% 9/1/2031  | 5913 | 6215 |
| Freddie Mac Gold Pool 8% 11/1/2031  | 802 | 838 |
| Freddie Mac Gold Pool 8% 12/1/2026  | 26 | 26 |
| Freddie Mac Gold Pool 8% 2/1/2030  | 62 | 65 |
| Freddie Mac Gold Pool 8% 4/1/2027  | 297 | 298 |
| Freddie Mac Gold Pool 8% 4/1/2032  | 107 | 112 |
| Freddie Mac Gold Pool 8% 7/1/2030  | 797 | 836 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 1768 | 1836 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 60 | 63 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 22 | 23 |
| Freddie Mac Gold Pool 8% 9/1/2030  | 50 | 53 |
| Freddie Mac Gold Pool 8.5% 1/1/2028  | 6 | 6 |
| Freddie Mac Gold Pool 8.5% 12/1/2027  | 8 | 9 |
| Freddie Mac Gold Pool 8.5% 5/1/2027  | 13 | 13 |
| Freddie Mac Gold Pool 8.5% 5/1/2027  | 2 | 2 |
| Freddie Mac Gold Pool 8.5% 8/1/2026  | 14 | 14 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 443 | 449 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 218 | 222 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 10 | 10 |
| Freddie Mac Manufactured Housing participation certificates 6% 3/1/2055  | 5071706 | 5248671 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 2511179 | 2645151 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 2276067 | 2400341 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 715901 | 757730 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.325%, 5.616% 1/1/2036 (b)(c) | 8231 | 8393 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.375%, 5.884% 3/1/2036 (b)(c) | 42352 | 43310 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.5%, 5.85% 3/1/2036 (b)(c) | 32036 | 32966 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.202% 12/1/2040 (b)(c) | 304632 | 318097 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.406% 7/1/2041 (b)(c) | 56239 | 58831 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.435% 9/1/2041 (b)(c) | 72946 | 76356 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.589% 5/1/2035 (b)(c) | 63056 | 65172 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.864%, 6.864% 4/1/2036 (b)(c) | 22434 | 23283 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.63% 9/1/2041 (b)(c) | 9848 | 10341 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.88% 4/1/2041 (b)(c) | 1834 | 1922 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.535% 6/1/2041 (b)(c) | 1997 | 2096 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.672% 6/1/2041 (b)(c) | 25034 | 26286 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.778% 5/1/2041 (b)(c) | 17733 | 18619 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.863% 5/1/2041 (b)(c) | 22816 | 23944 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.939%, 6.549% 10/1/2042 (b)(c) | 33201 | 34765 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.01%, 7.01% 4/1/2038 (b)(c) | 18426 | 19297 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.031%, 6.658% 3/1/2033 (b)(c) | 298 | 304 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.045%, 6.684% 7/1/2036 (b)(c) | 15364 | 15992 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.035%, 6.095% 6/1/2033 (b)(c) | 32035 | 32768 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.2477%, 5.872% 1/1/2035 (b)(c) | 1829 | 1885 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.2598%, 6.27% 6/1/2033 (b)(c) | 43417 | 44495 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.375%, 6.328% 3/1/2035 (b)(c) | 90345 | 93039 |
| Freddie Mac Non Gold Pool 3.5% 5/1/2049  | 1025829 | 952823 |
| Freddie Mac Non Gold Pool 4% 9/1/2040  | 11686 | 11417 |
| Freddie Mac Non Gold Pool 5.5% 1/1/2055  | 367006 | 369903 |
| Freddie Mac Non Gold Pool 5.5% 11/1/2054  | 11013754 | 11104129 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 11893171 | 12114339 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 3818738 | 3889752 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 3684049 | 3746802 |
| Freddie Mac Non Gold Pool 5.5% 9/1/2054  | 9780409 | 9937837 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.125%, 5.375% 8/1/2037 (b)(c) | 12505 | 12681 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.655%, 6.124% 4/1/2035 (b)(c) | 34590 | 35488 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.665%, 6.177% 10/1/2036 (b)(c) | 21522 | 22079 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.993%, 6.307% 10/1/2035 (b)(c) | 25076 | 25828 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 2.02%, 6.26% 6/1/2037 (b)(c) | 11444 | 11888 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 5320367 | 5506009 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 5214587 | 5390020 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 5507891 | 5700076 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 4142705 | 4353039 |
| Freddie Mac Non Gold Pool 7% 1/1/2055  | 150359 | 159700 |
| Freddie Mac Non Gold Pool 7% 1/1/2055  | 120615 | 127920 |
| Freddie Mac Non Gold Pool 7% 10/1/2055  | 103350 | 110424 |
| Freddie Mac Non Gold Pool 7% 11/1/2055  | 440752 | 467023 |
| Freddie Mac Non Gold Pool 7% 12/1/2053  | 184874 | 196373 |
| Freddie Mac Non Gold Pool 7% 12/1/2054  | 95518 | 101888 |
| Freddie Mac Non Gold Pool 7% 3/1/2055  | 230242 | 243692 |
| Freddie Mac Non Gold Pool 7% 7/1/2055  | 110116 | 117645 |
| Freddie Mac Non Gold Pool 7% 9/1/2055  | 104016 | 109514 |
| Ginnie Mae I Pool 2% 11/20/2052  | 1007195 | 832006 |
| Ginnie Mae I Pool 2.5% 1/20/2052  | 8130294 | 6979428 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 12585960 | 10804381 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 8342407 | 7153695 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 6675971 | 5730967 |
| Ginnie Mae I Pool 2.5% 12/20/2052  | 18388 | 15818 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 46508933 | 39910921 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 12110601 | 10392526 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 7067595 | 6064947 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 20889817 | 17913217 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 12066946 | 10347522 |
| Ginnie Mae I Pool 3% 1/20/2050  | 98830 | 88380 |
| Ginnie Mae I Pool 3% 1/20/2050  | 73923 | 66129 |
| Ginnie Mae I Pool 3% 12/15/2042  | 487462 | 447779 |
| Ginnie Mae I Pool 3% 12/20/2042  | 600072 | 548987 |
| Ginnie Mae I Pool 3% 2/15/2045  | 265716 | 242225 |
| Ginnie Mae I Pool 3% 2/15/2045  | 213904 | 194516 |
| Ginnie Mae I Pool 3% 2/20/2050  | 7702858 | 6883559 |
| Ginnie Mae I Pool 3% 2/20/2050  | 794212 | 709489 |
| Ginnie Mae I Pool 3% 3/15/2045  | 428763 | 390035 |
| Ginnie Mae I Pool 3% 3/20/2043  | 393437 | 360113 |
| Ginnie Mae I Pool 3% 3/20/2043  | 164478 | 150665 |
| Ginnie Mae I Pool 3% 4/15/2043  | 55485 | 50799 |
| Ginnie Mae I Pool 3% 4/15/2043  | 45252 | 41599 |
| Ginnie Mae I Pool 3% 4/15/2043  | 5012 | 4666 |
| Ginnie Mae I Pool 3% 4/15/2043  | 5075 | 4665 |
| Ginnie Mae I Pool 3% 4/15/2045  | 157714 | 143270 |
| Ginnie Mae I Pool 3% 5/15/2042  | 73004 | 67341 |
| Ginnie Mae I Pool 3% 5/15/2043  | 53976 | 49026 |
| Ginnie Mae I Pool 3% 5/15/2043  | 41321 | 38029 |
| Ginnie Mae I Pool 3% 5/15/2043  | 41042 | 37645 |
| Ginnie Mae I Pool 3% 5/15/2043  | 15691 | 14355 |
| Ginnie Mae I Pool 3% 5/15/2045  | 2636 | 2392 |
| Ginnie Mae I Pool 3% 6/15/2043  | 60508 | 55708 |
| Ginnie Mae I Pool 3% 6/15/2043  | 54011 | 49396 |
| Ginnie Mae I Pool 3% 6/15/2043  | 25659 | 23818 |
| Ginnie Mae I Pool 3.5% 1/15/2041  | 70733 | 67076 |
| Ginnie Mae I Pool 3.5% 1/15/2041  | 15527 | 14683 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 220640 | 207148 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 152253 | 143127 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 39496 | 37301 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 4496 | 4240 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 2070 | 1951 |
| Ginnie Mae I Pool 3.5% 1/15/2043  | 244210 | 229573 |
| Ginnie Mae I Pool 3.5% 1/15/2043  | 6940 | 6532 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 71620 | 66952 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 43388 | 40695 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 42230 | 39570 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 12102 | 11324 |
| Ginnie Mae I Pool 3.5% 10/20/2052  | 5386881 | 4969651 |
| Ginnie Mae I Pool 3.5% 11/15/2040  | 29201 | 27606 |
| Ginnie Mae I Pool 3.5% 11/15/2041  | 255343 | 242084 |
| Ginnie Mae I Pool 3.5% 11/15/2041  | 105632 | 99784 |
| Ginnie Mae I Pool 3.5% 11/15/2041  | 2728 | 2569 |
| Ginnie Mae I Pool 3.5% 11/15/2042  | 541734 | 509397 |
| Ginnie Mae I Pool 3.5% 11/20/2049  | 279609 | 261994 |
| Ginnie Mae I Pool 3.5% 11/20/2049  | 88462 | 82723 |
| Ginnie Mae I Pool 3.5% 12/15/2040  | 5662 | 5357 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 208590 | 196294 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 196367 | 184598 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 120953 | 114224 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 17601 | 16650 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 410987 | 388600 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 271146 | 256258 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 229615 | 216427 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 218816 | 207079 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 192289 | 180669 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 142731 | 134037 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 126675 | 119692 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 78777 | 74272 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 9511 | 8963 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 1052289 | 991850 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 39157 | 36848 |
| Ginnie Mae I Pool 3.5% 2/15/2044  | 163389 | 152565 |
| Ginnie Mae I Pool 3.5% 2/20/2043  | 728016 | 684841 |
| Ginnie Mae I Pool 3.5% 2/20/2050  | 557102 | 520786 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 212525 | 201171 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 118607 | 112371 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 32232 | 30433 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 18553 | 17522 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 18003 | 16964 |
| Ginnie Mae I Pool 3.5% 3/15/2043  | 7241 | 6805 |
| Ginnie Mae I Pool 3.5% 3/20/2043  | 316179 | 297428 |
| Ginnie Mae I Pool 3.5% 3/20/2043  | 267803 | 251797 |
| Ginnie Mae I Pool 3.5% 4/15/2043  | 910835 | 858520 |
| Ginnie Mae I Pool 3.5% 4/15/2043  | 173437 | 162461 |
| Ginnie Mae I Pool 3.5% 4/20/2043  | 289718 | 271971 |
| Ginnie Mae I Pool 3.5% 4/20/2043  | 114783 | 107805 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 312248 | 295304 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 233395 | 220681 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 33610 | 31522 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 33269 | 31410 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 29572 | 27883 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 12880 | 12121 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 212313 | 199004 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 146146 | 136985 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 111085 | 104122 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 107191 | 100472 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 91412 | 85682 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 56982 | 53294 |
| Ginnie Mae I Pool 3.5% 6/15/2042  | 7085 | 6662 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 71359 | 66876 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 62462 | 58451 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 44347 | 41710 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 31550 | 29905 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 24018 | 22532 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 4651 | 4363 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 503533 | 471968 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 163374 | 153133 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 133859 | 125468 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 123015 | 115303 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 111891 | 104877 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 72243 | 67714 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 48291 | 45309 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 154052 | 144933 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 52607 | 49492 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 12713 | 11954 |
| Ginnie Mae I Pool 3.5% 7/15/2043  | 27249 | 25563 |
| Ginnie Mae I Pool 3.5% 7/20/2043  | 287777 | 269378 |
| Ginnie Mae I Pool 3.5% 7/20/2046  | 6016612 | 5645087 |
| Ginnie Mae I Pool 3.5% 8/15/2042  | 13017 | 12236 |
| Ginnie Mae I Pool 3.5% 8/15/2043  | 18765 | 17586 |
| Ginnie Mae I Pool 3.5% 8/20/2052  | 17068344 | 15746352 |
| Ginnie Mae I Pool 3.5% 9/15/2041  | 1822 | 1722 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 35892 | 33689 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 18242 | 17140 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 16939 | 16039 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 9768 | 9170 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 2215 | 2082 |
| Ginnie Mae I Pool 3.5% 9/15/2043  | 13836 | 12973 |
| Ginnie Mae I Pool 3.5% 9/20/2052  | 24962712 | 23029279 |
| Ginnie Mae I Pool 4% 1/15/2040  | 37710 | 36536 |
| Ginnie Mae I Pool 4% 1/15/2040  | 36124 | 34896 |
| Ginnie Mae I Pool 4% 1/15/2041  | 191975 | 185227 |
| Ginnie Mae I Pool 4% 1/15/2041  | 28437 | 27428 |
| Ginnie Mae I Pool 4% 1/15/2041  | 7602 | 7335 |
| Ginnie Mae I Pool 4% 1/15/2041  | 3505 | 3381 |
| Ginnie Mae I Pool 4% 1/15/2042  | 25418 | 24470 |
| Ginnie Mae I Pool 4% 1/15/2043  | 94190 | 90515 |
| Ginnie Mae I Pool 4% 1/15/2047  | 392680 | 372931 |
| Ginnie Mae I Pool 4% 1/15/2047  | 378587 | 359547 |
| Ginnie Mae I Pool 4% 1/15/2047  | 291362 | 276709 |
| Ginnie Mae I Pool 4% 1/15/2047  | 138753 | 131774 |
| Ginnie Mae I Pool 4% 10/15/2039  | 44436 | 43045 |
| Ginnie Mae I Pool 4% 10/15/2040  | 226521 | 218631 |
| Ginnie Mae I Pool 4% 10/15/2040  | 196636 | 189947 |
| Ginnie Mae I Pool 4% 10/15/2040  | 184256 | 177898 |
| Ginnie Mae I Pool 4% 10/15/2040  | 23862 | 23047 |
| Ginnie Mae I Pool 4% 10/15/2040  | 19834 | 19157 |
| Ginnie Mae I Pool 4% 10/15/2040  | 11188 | 10821 |
| Ginnie Mae I Pool 4% 10/15/2040  | 9139 | 8833 |
| Ginnie Mae I Pool 4% 10/15/2041  | 1010887 | 973361 |
| Ginnie Mae I Pool 4% 10/15/2041  | 380106 | 366444 |
| Ginnie Mae I Pool 4% 10/15/2041  | 252294 | 243386 |
| Ginnie Mae I Pool 4% 10/15/2041  | 207354 | 199967 |
| Ginnie Mae I Pool 4% 10/15/2041  | 132838 | 127953 |
| Ginnie Mae I Pool 4% 10/15/2041  | 105208 | 101629 |
| Ginnie Mae I Pool 4% 10/15/2041  | 83686 | 80478 |
| Ginnie Mae I Pool 4% 10/15/2041  | 61563 | 59310 |
| Ginnie Mae I Pool 4% 10/15/2041  | 45876 | 44248 |
| Ginnie Mae I Pool 4% 10/15/2041  | 38763 | 37419 |
| Ginnie Mae I Pool 4% 10/15/2041  | 25146 | 24254 |
| Ginnie Mae I Pool 4% 10/15/2041  | 12865 | 12372 |
| Ginnie Mae I Pool 4% 10/20/2042  | 714805 | 687291 |
| Ginnie Mae I Pool 4% 11/15/2039  | 32892 | 31892 |
| Ginnie Mae I Pool 4% 11/15/2040  | 56452 | 54459 |
| Ginnie Mae I Pool 4% 11/15/2040  | 12620 | 12203 |
| Ginnie Mae I Pool 4% 11/15/2040  | 5842 | 5658 |
| Ginnie Mae I Pool 4% 11/15/2041  | 641511 | 618253 |
| Ginnie Mae I Pool 4% 11/15/2041  | 60964 | 58658 |
| Ginnie Mae I Pool 4% 11/15/2041  | 7056 | 6799 |
| Ginnie Mae I Pool 4% 11/15/2041  | 3408 | 3289 |
| Ginnie Mae I Pool 4% 11/15/2042  | 31584 | 30368 |
| Ginnie Mae I Pool 4% 12/15/2039  | 112710 | 108932 |
| Ginnie Mae I Pool 4% 12/15/2039  | 18720 | 18099 |
| Ginnie Mae I Pool 4% 12/15/2040  | 1274208 | 1229013 |
| Ginnie Mae I Pool 4% 12/15/2040  | 26338 | 25523 |
| Ginnie Mae I Pool 4% 12/15/2040  | 17766 | 17150 |
| Ginnie Mae I Pool 4% 12/15/2040  | 12920 | 12448 |
| Ginnie Mae I Pool 4% 12/15/2040  | 8766 | 8447 |
| Ginnie Mae I Pool 4% 12/15/2041  | 274902 | 265065 |
| Ginnie Mae I Pool 4% 12/15/2041  | 207040 | 199319 |
| Ginnie Mae I Pool 4% 12/15/2041  | 136650 | 131601 |
| Ginnie Mae I Pool 4% 12/15/2041  | 74554 | 71813 |
| Ginnie Mae I Pool 4% 12/15/2041  | 16307 | 15763 |
| Ginnie Mae I Pool 4% 12/15/2041  | 10829 | 10435 |
| Ginnie Mae I Pool 4% 12/15/2041  | 10116 | 9736 |
| Ginnie Mae I Pool 4% 12/15/2042  | 24187 | 23277 |
| Ginnie Mae I Pool 4% 12/15/2046  | 73558 | 70019 |
| Ginnie Mae I Pool 4% 2/15/2040  | 167080 | 161342 |
| Ginnie Mae I Pool 4% 2/15/2040  | 93480 | 90409 |
| Ginnie Mae I Pool 4% 2/15/2040  | 91638 | 88490 |
| Ginnie Mae I Pool 4% 2/15/2040  | 17317 | 16731 |
| Ginnie Mae I Pool 4% 2/15/2041  | 82282 | 79443 |
| Ginnie Mae I Pool 4% 2/15/2041  | 28236 | 27193 |
| Ginnie Mae I Pool 4% 2/15/2041  | 6110 | 5899 |
| Ginnie Mae I Pool 4% 2/15/2042  | 93837 | 90354 |
| Ginnie Mae I Pool 4% 2/15/2045  | 185594 | 177665 |
| Ginnie Mae I Pool 4% 3/15/2040  | 834575 | 806187 |
| Ginnie Mae I Pool 4% 3/15/2041  | 419438 | 404965 |
| Ginnie Mae I Pool 4% 3/15/2041  | 28457 | 27485 |
| Ginnie Mae I Pool 4% 3/15/2041  | 13878 | 13358 |
| Ginnie Mae I Pool 4% 3/15/2042  | 331716 | 319230 |
| Ginnie Mae I Pool 4% 3/15/2042  | 51298 | 49314 |
| Ginnie Mae I Pool 4% 3/15/2042  | 23001 | 22152 |
| Ginnie Mae I Pool 4% 3/15/2042  | 5552 | 5342 |
| Ginnie Mae I Pool 4% 3/20/2047  | 1922556 | 1839069 |
| Ginnie Mae I Pool 4% 4/15/2040  | 64331 | 62080 |
| Ginnie Mae I Pool 4% 4/15/2040  | 28573 | 27644 |
| Ginnie Mae I Pool 4% 4/15/2041  | 86510 | 83483 |
| Ginnie Mae I Pool 4% 4/15/2042  | 58633 | 56326 |
| Ginnie Mae I Pool 4% 4/15/2043  | 135206 | 129932 |
| Ginnie Mae I Pool 4% 4/15/2043  | 16568 | 15950 |
| Ginnie Mae I Pool 4% 4/15/2046  | 2843078 | 2719438 |
| Ginnie Mae I Pool 4% 4/20/2048  | 963541 | 916279 |
| Ginnie Mae I Pool 4% 4/20/2048  | 850682 | 808956 |
| Ginnie Mae I Pool 4% 5/15/2040  | 55793 | 53841 |
| Ginnie Mae I Pool 4% 5/15/2041  | 5797 | 5631 |
| Ginnie Mae I Pool 4% 5/15/2041  | 1523 | 1469 |
| Ginnie Mae I Pool 4% 5/15/2042  | 2845 | 2830 |
| Ginnie Mae I Pool 4% 5/15/2043  | 25237 | 24194 |
| Ginnie Mae I Pool 4% 5/15/2045  | 172780 | 165136 |
| Ginnie Mae I Pool 4% 5/20/2041  | 21030 | 20347 |
| Ginnie Mae I Pool 4% 5/20/2049  | 157234 | 148686 |
| Ginnie Mae I Pool 4% 6/15/2041  | 54249 | 52299 |
| Ginnie Mae I Pool 4% 6/15/2041  | 29164 | 28271 |
| Ginnie Mae I Pool 4% 6/15/2041  | 27558 | 26520 |
| Ginnie Mae I Pool 4% 6/15/2042  | 34574 | 33202 |
| Ginnie Mae I Pool 4% 6/15/2042  | 1622 | 1558 |
| Ginnie Mae I Pool 4% 6/15/2043  | 147259 | 141416 |
| Ginnie Mae I Pool 4% 6/15/2043  | 6378 | 6138 |
| Ginnie Mae I Pool 4% 6/15/2045  | 46381 | 44428 |
| Ginnie Mae I Pool 4% 7/15/2039  | 41716 | 40339 |
| Ginnie Mae I Pool 4% 7/15/2041  | 37704 | 36337 |
| Ginnie Mae I Pool 4% 7/15/2041  | 30373 | 29310 |
| Ginnie Mae I Pool 4% 7/15/2041  | 20055 | 19290 |
| Ginnie Mae I Pool 4% 7/15/2041  | 19198 | 18468 |
| Ginnie Mae I Pool 4% 7/15/2041  | 10459 | 10074 |
| Ginnie Mae I Pool 4% 7/15/2041  | 6611 | 6372 |
| Ginnie Mae I Pool 4% 7/15/2042  | 93059 | 89321 |
| Ginnie Mae I Pool 4% 7/15/2045  | 126198 | 120577 |
| Ginnie Mae I Pool 4% 7/15/2046  | 263699 | 251014 |
| Ginnie Mae I Pool 4% 7/15/2046  | 211788 | 201600 |
| Ginnie Mae I Pool 4% 8/15/2039  | 30666 | 29695 |
| Ginnie Mae I Pool 4% 8/15/2039  | 17644 | 17053 |
| Ginnie Mae I Pool 4% 8/15/2039  | 13244 | 12789 |
| Ginnie Mae I Pool 4% 8/15/2040  | 8846 | 8548 |
| Ginnie Mae I Pool 4% 8/15/2041  | 54605 | 52651 |
| Ginnie Mae I Pool 4% 8/15/2041  | 37907 | 36617 |
| Ginnie Mae I Pool 4% 8/15/2041  | 5926 | 5731 |
| Ginnie Mae I Pool 4% 8/15/2042  | 90987 | 87392 |
| Ginnie Mae I Pool 4% 8/15/2042  | 13787 | 13304 |
| Ginnie Mae I Pool 4% 8/15/2042  | 3841 | 3710 |
| Ginnie Mae I Pool 4% 8/15/2043  | 35684 | 34181 |
| Ginnie Mae I Pool 4% 8/15/2043  | 25073 | 24014 |
| Ginnie Mae I Pool 4% 8/15/2043  | 9856 | 9473 |
| Ginnie Mae I Pool 4% 9/15/2039  | 27414 | 26595 |
| Ginnie Mae I Pool 4% 9/15/2040  | 13523 | 13068 |
| Ginnie Mae I Pool 4% 9/15/2041  | 284665 | 274345 |
| Ginnie Mae I Pool 4% 9/15/2041  | 49163 | 47403 |
| Ginnie Mae I Pool 4% 9/15/2041  | 45738 | 44145 |
| Ginnie Mae I Pool 4% 9/15/2041  | 20567 | 19775 |
| Ginnie Mae I Pool 4% 9/15/2041  | 13151 | 12658 |
| Ginnie Mae I Pool 4% 9/15/2041  | 5551 | 5375 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 21412 | 21264 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 15005 | 14926 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 3796 | 3777 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 3561 | 3541 |
| Ginnie Mae I Pool 4.5% 10/15/2040  | 3443 | 3422 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 129484 | 128598 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 49404 | 49106 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 40768 | 40532 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 36284 | 36078 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 26804 | 26651 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 24890 | 24776 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 18412 | 18309 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 15045 | 14962 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 4004 | 3983 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 3834 | 3814 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 2924 | 2908 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 2130 | 2117 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 1774 | 1765 |
| Ginnie Mae I Pool 4.5% 12/15/2039  | 35953 | 35794 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 105036 | 104438 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 99257 | 98514 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 71887 | 71514 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 56307 | 55996 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 50069 | 49801 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 36997 | 36831 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 31348 | 31175 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 29072 | 28907 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 20358 | 20262 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 5791 | 5759 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 5259 | 5230 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 949 | 944 |
| Ginnie Mae I Pool 4.5% 2/15/2041  | 23378 | 23218 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 244785 | 243419 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 22735 | 22598 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 16249 | 16160 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 11449 | 11384 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 1544023 | 1533472 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 767040 | 762592 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 209241 | 208050 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 24338 | 24197 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 3348 | 3327 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 815 | 811 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 108778 | 108219 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 69320 | 68937 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 52646 | 52271 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 40066 | 39801 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 22864 | 22711 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 9394 | 9322 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 9198 | 9128 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 6301 | 6265 |
| Ginnie Mae I Pool 4.5% 4/15/2041  | 65021 | 64605 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 34170 | 34000 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 122537 | 121853 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 12489 | 12406 |
| Ginnie Mae I Pool 4.5% 5/15/2041  | 90 | 89 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 67452 | 67150 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 62408 | 62077 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 11591 | 11533 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 9102 | 9056 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 7858 | 7820 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 485397 | 481936 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 282039 | 280480 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 148722 | 147868 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 128655 | 127895 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 73239 | 72834 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 70768 | 70369 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 61268 | 60919 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 55585 | 55263 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 8100 | 8054 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 5565 | 5531 |
| Ginnie Mae I Pool 4.5% 6/15/2041  | 896619 | 890883 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 48700 | 48461 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 20771 | 20663 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 1767 | 1757 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 206219 | 205057 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 188959 | 187894 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 144751 | 143967 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 110115 | 109501 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 101752 | 101185 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 93528 | 92975 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 15051 | 14962 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 8727 | 8674 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 3563 | 3543 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 642 | 638 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 543147 | 540355 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 348932 | 347157 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 279498 | 278107 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 111573 | 110975 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 49801 | 49561 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 9340 | 9291 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 65411 | 65039 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 14480 | 14363 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 5894 | 5855 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 5844 | 5809 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 4427 | 4402 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 1514 | 1506 |
| Ginnie Mae I Pool 4.5% 8/15/2041  | 11555 | 11493 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 103558 | 103015 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 50948 | 50692 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 19087 | 18986 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 17414 | 17327 |
| Ginnie Mae I Pool 4.5% 9/15/2040  | 16910 | 16820 |
| Ginnie Mae I Pool 4.5% 9/15/2040  | 7364 | 7320 |
| Ginnie Mae I Pool 5% 1/15/2034  | 3699 | 3754 |
| Ginnie Mae I Pool 5% 1/15/2040  | 1725 | 1755 |
| Ginnie Mae I Pool 5% 1/15/2040  | 1454 | 1472 |
| Ginnie Mae I Pool 5% 10/15/2033  | 1996 | 2026 |
| Ginnie Mae I Pool 5% 10/15/2034  | 2891 | 2933 |
| Ginnie Mae I Pool 5% 10/15/2039  | 80915 | 82307 |
| Ginnie Mae I Pool 5% 10/15/2039  | 39039 | 39703 |
| Ginnie Mae I Pool 5% 10/15/2039  | 23963 | 24376 |
| Ginnie Mae I Pool 5% 10/15/2039  | 12601 | 12816 |
| Ginnie Mae I Pool 5% 10/15/2039  | 7604 | 7746 |
| Ginnie Mae I Pool 5% 11/15/2033  | 1315 | 1335 |
| Ginnie Mae I Pool 5% 11/15/2039  | 37212 | 37855 |
| Ginnie Mae I Pool 5% 11/15/2039  | 23952 | 24397 |
| Ginnie Mae I Pool 5% 11/15/2039  | 15136 | 15396 |
| Ginnie Mae I Pool 5% 11/15/2039  | 14634 | 14887 |
| Ginnie Mae I Pool 5% 11/15/2039  | 3327 | 3384 |
| Ginnie Mae I Pool 5% 11/15/2039  | 2705 | 2752 |
| Ginnie Mae I Pool 5% 11/15/2040  | 46864 | 47674 |
| Ginnie Mae I Pool 5% 11/15/2040  | 17295 | 17566 |
| Ginnie Mae I Pool 5% 12/15/2032  | 507 | 514 |
| Ginnie Mae I Pool 5% 12/15/2037  | 12615 | 12847 |
| Ginnie Mae I Pool 5% 12/15/2039  | 38608 | 39275 |
| Ginnie Mae I Pool 5% 12/15/2039  | 18509 | 18825 |
| Ginnie Mae I Pool 5% 12/15/2039  | 14665 | 14921 |
| Ginnie Mae I Pool 5% 2/15/2039  | 7017 | 7137 |
| Ginnie Mae I Pool 5% 2/15/2040  | 2850 | 2899 |
| Ginnie Mae I Pool 5% 3/15/2039  | 29980 | 30536 |
| Ginnie Mae I Pool 5% 3/15/2040  | 5718 | 5816 |
| Ginnie Mae I Pool 5% 3/15/2041  | 31055 | 31539 |
| Ginnie Mae I Pool 5% 3/15/2041  | 11327 | 11523 |
| Ginnie Mae I Pool 5% 3/15/2041  | 2426 | 2468 |
| Ginnie Mae I Pool 5% 4/15/2033  | 3559 | 3607 |
| Ginnie Mae I Pool 5% 4/15/2039  | 6312 | 6429 |
| Ginnie Mae I Pool 5% 4/15/2040  | 365503 | 371805 |
| Ginnie Mae I Pool 5% 4/15/2040  | 260937 | 265419 |
| Ginnie Mae I Pool 5% 4/15/2040  | 15627 | 15898 |
| Ginnie Mae I Pool 5% 4/15/2040  | 5553 | 5649 |
| Ginnie Mae I Pool 5% 4/15/2040  | 1665 | 1691 |
| Ginnie Mae I Pool 5% 4/15/2041  | 49057 | 49820 |
| Ginnie Mae I Pool 5% 4/15/2041  | 27017 | 27438 |
| Ginnie Mae I Pool 5% 4/15/2041  | 12072 | 12260 |
| Ginnie Mae I Pool 5% 4/15/2041  | 11872 | 12076 |
| Ginnie Mae I Pool 5% 4/20/2048  | 2639422 | 2665723 |
| Ginnie Mae I Pool 5% 5/15/2039  | 88847 | 90355 |
| Ginnie Mae I Pool 5% 5/15/2039  | 38860 | 39523 |
| Ginnie Mae I Pool 5% 5/15/2039  | 2670 | 2719 |
| Ginnie Mae I Pool 5% 5/15/2040  | 24227 | 24679 |
| Ginnie Mae I Pool 5% 5/15/2040  | 15603 | 15873 |
| Ginnie Mae I Pool 5% 5/15/2040  | 3372 | 3425 |
| Ginnie Mae I Pool 5% 6/15/2033  | 273 | 277 |
| Ginnie Mae I Pool 5% 6/15/2039  | 10244 | 10435 |
| Ginnie Mae I Pool 5% 6/15/2039  | 5558 | 5653 |
| Ginnie Mae I Pool 5% 6/15/2039  | 968 | 985 |
| Ginnie Mae I Pool 5% 6/15/2040  | 802070 | 815898 |
| Ginnie Mae I Pool 5% 6/15/2040  | 55630 | 56590 |
| Ginnie Mae I Pool 5% 6/15/2040  | 20227 | 20545 |
| Ginnie Mae I Pool 5% 6/15/2040  | 14765 | 14995 |
| Ginnie Mae I Pool 5% 6/15/2040  | 1674 | 1704 |
| Ginnie Mae I Pool 5% 6/15/2041  | 37239 | 37889 |
| Ginnie Mae I Pool 5% 6/15/2041  | 5288 | 5371 |
| Ginnie Mae I Pool 5% 6/15/2041  | 4942 | 5025 |
| Ginnie Mae I Pool 5% 7/15/2039  | 158329 | 161285 |
| Ginnie Mae I Pool 5% 7/15/2039  | 37559 | 38200 |
| Ginnie Mae I Pool 5% 7/15/2039  | 1399 | 1425 |
| Ginnie Mae I Pool 5% 7/15/2040  | 92296 | 93893 |
| Ginnie Mae I Pool 5% 7/15/2040  | 91979 | 93557 |
| Ginnie Mae I Pool 5% 7/15/2040  | 56467 | 57447 |
| Ginnie Mae I Pool 5% 7/15/2040  | 40720 | 41424 |
| Ginnie Mae I Pool 5% 7/15/2040  | 24846 | 25233 |
| Ginnie Mae I Pool 5% 7/15/2040  | 17129 | 17428 |
| Ginnie Mae I Pool 5% 7/15/2040  | 11822 | 12027 |
| Ginnie Mae I Pool 5% 7/15/2040  | 2684 | 2730 |
| Ginnie Mae I Pool 5% 8/15/2039  | 77175 | 78494 |
| Ginnie Mae I Pool 5% 8/15/2039  | 76257 | 77559 |
| Ginnie Mae I Pool 5% 8/15/2039  | 33680 | 34255 |
| Ginnie Mae I Pool 5% 8/15/2039  | 23326 | 23728 |
| Ginnie Mae I Pool 5% 8/15/2039  | 7503 | 7633 |
| Ginnie Mae I Pool 5% 8/15/2039  | 5040 | 5126 |
| Ginnie Mae I Pool 5% 8/15/2039  | 4475 | 4551 |
| Ginnie Mae I Pool 5% 8/15/2039  | 2687 | 2736 |
| Ginnie Mae I Pool 5% 8/15/2040  | 162939 | 165767 |
| Ginnie Mae I Pool 5% 8/15/2040  | 157533 | 160255 |
| Ginnie Mae I Pool 5% 8/15/2040  | 52200 | 53108 |
| Ginnie Mae I Pool 5% 8/15/2040  | 15018 | 15280 |
| Ginnie Mae I Pool 5% 8/15/2041  | 8408 | 8552 |
| Ginnie Mae I Pool 5% 9/15/2037  | 2036 | 2073 |
| Ginnie Mae I Pool 5% 9/15/2039  | 218528 | 222243 |
| Ginnie Mae I Pool 5% 9/15/2039  | 74159 | 75429 |
| Ginnie Mae I Pool 5% 9/15/2039  | 42706 | 43436 |
| Ginnie Mae I Pool 5% 9/15/2039  | 27309 | 27775 |
| Ginnie Mae I Pool 5% 9/15/2039  | 25887 | 26329 |
| Ginnie Mae I Pool 5% 9/15/2039  | 14128 | 14370 |
| Ginnie Mae I Pool 5% 9/15/2039  | 12976 | 13201 |
| Ginnie Mae I Pool 5% 9/15/2039  | 11507 | 11704 |
| Ginnie Mae I Pool 5% 9/15/2039  | 10994 | 11181 |
| Ginnie Mae I Pool 5% 9/15/2039  | 10987 | 11174 |
| Ginnie Mae I Pool 5% 9/15/2039  | 8940 | 9093 |
| Ginnie Mae I Pool 5% 9/15/2039  | 3779 | 3844 |
| Ginnie Mae I Pool 5% 9/15/2039  | 3653 | 3715 |
| Ginnie Mae I Pool 5% 9/15/2040  | 87659 | 89173 |
| Ginnie Mae I Pool 5% 9/15/2040  | 58221 | 59125 |
| Ginnie Mae I Pool 5% 9/15/2040  | 33178 | 33753 |
| Ginnie Mae I Pool 5% 9/15/2040  | 12250 | 12443 |
| Ginnie Mae I Pool 5% 9/15/2041  | 685247 | 696984 |
| Ginnie Mae I Pool 5.5% 1/15/2034  | 461 | 474 |
| Ginnie Mae I Pool 5.5% 1/15/2039  | 36658 | 37797 |
| Ginnie Mae I Pool 5.5% 10/15/2035  | 29448 | 30399 |
| Ginnie Mae I Pool 5.5% 11/15/2033  | 252 | 259 |
| Ginnie Mae I Pool 5.5% 12/15/2038  | 67961 | 70122 |
| Ginnie Mae I Pool 5.5% 12/15/2038  | 27382 | 28177 |
| Ginnie Mae I Pool 5.5% 12/15/2038  | 1857 | 1912 |
| Ginnie Mae I Pool 5.5% 2/15/2037  | 138 | 142 |
| Ginnie Mae I Pool 5.5% 3/15/2034  | 1930 | 1987 |
| Ginnie Mae I Pool 5.5% 3/15/2034  | 333 | 341 |
| Ginnie Mae I Pool 5.5% 3/15/2038  | 49246 | 50676 |
| Ginnie Mae I Pool 5.5% 3/15/2039  | 5520 | 5689 |
| Ginnie Mae I Pool 5.5% 4/15/2034  | 2014 | 2072 |
| Ginnie Mae I Pool 5.5% 4/15/2034  | 333 | 343 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 7356 | 7587 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 2056 | 2117 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 791 | 815 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 538 | 555 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 459 | 473 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 334 | 343 |
| Ginnie Mae I Pool 5.5% 5/15/2037  | 187 | 193 |
| Ginnie Mae I Pool 5.5% 5/15/2039  | 20960 | 21611 |
| Ginnie Mae I Pool 5.5% 6/15/2039  | 1620 | 1668 |
| Ginnie Mae I Pool 5.5% 6/15/2039  | 570 | 585 |
| Ginnie Mae I Pool 5.5% 7/15/2033  | 1817 | 1872 |
| Ginnie Mae I Pool 5.5% 7/15/2037  | 2016 | 2077 |
| Ginnie Mae I Pool 5.5% 7/15/2037  | 379 | 390 |
| Ginnie Mae I Pool 5.5% 7/15/2038  | 5840 | 6007 |
| Ginnie Mae I Pool 5.5% 7/15/2038  | 387 | 399 |
| Ginnie Mae I Pool 5.5% 7/15/2039  | 7078 | 7308 |
| Ginnie Mae I Pool 5.5% 8/15/2033  | 5602 | 5771 |
| Ginnie Mae I Pool 5.5% 8/15/2038  | 43100 | 44464 |
| Ginnie Mae I Pool 5.5% 9/15/2038  | 52767 | 54388 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 186427 | 192383 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 118128 | 121893 |
| Ginnie Mae I Pool 6% 10/15/2030  | 8193 | 8415 |
| Ginnie Mae I Pool 6% 10/15/2039  | 5189 | 5406 |
| Ginnie Mae I Pool 6% 11/15/2037  | 498 | 517 |
| Ginnie Mae I Pool 6% 11/15/2039  | 14924 | 15558 |
| Ginnie Mae I Pool 6% 11/15/2039  | 8573 | 8936 |
| Ginnie Mae I Pool 6% 11/15/2039  | 5641 | 5874 |
| Ginnie Mae I Pool 6% 11/15/2039  | 3255 | 3382 |
| Ginnie Mae I Pool 6% 11/15/2039  | 2777 | 2887 |
| Ginnie Mae I Pool 6% 11/15/2039  | 2192 | 2280 |
| Ginnie Mae I Pool 6% 11/15/2039  | 1425 | 1485 |
| Ginnie Mae I Pool 6% 12/15/2034  | 1605 | 1667 |
| Ginnie Mae I Pool 6% 5/15/2040  | 462317 | 480464 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 18660 | 19697 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 2438 | 2562 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 1153 | 1219 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 250 | 262 |
| Ginnie Mae I Pool 6.5% 10/15/2035  | 11965 | 12705 |
| Ginnie Mae I Pool 6.5% 10/15/2036  | 3845 | 4059 |
| Ginnie Mae I Pool 6.5% 11/15/2034  | 4341 | 4509 |
| Ginnie Mae I Pool 6.5% 6/15/2037  | 4604 | 4856 |
| Ginnie Mae I Pool 6.5% 7/15/2035  | 1398 | 1477 |
| Ginnie Mae I Pool 6.5% 8/15/2034  | 19946 | 21006 |
| Ginnie Mae I Pool 6.5% 8/15/2034  | 451 | 468 |
| Ginnie Mae I Pool 6.5% 8/15/2036  | 3425 | 3614 |
| Ginnie Mae I Pool 6.5% 9/15/2034  | 8211 | 8644 |
| Ginnie Mae I Pool 6.5% 9/15/2035  | 277 | 288 |
| Ginnie Mae I Pool 7% 1/15/2027  | 5 | 5 |
| Ginnie Mae I Pool 7% 1/15/2028  | 287 | 289 |
| Ginnie Mae I Pool 7% 1/15/2028  | 248 | 249 |
| Ginnie Mae I Pool 7% 1/15/2028  | 186 | 188 |
| Ginnie Mae I Pool 7% 1/15/2028  | 186 | 186 |
| Ginnie Mae I Pool 7% 1/15/2028  | 173 | 175 |
| Ginnie Mae I Pool 7% 1/15/2028  | 154 | 155 |
| Ginnie Mae I Pool 7% 1/15/2028  | 129 | 130 |
| Ginnie Mae I Pool 7% 1/15/2028  | 36 | 36 |
| Ginnie Mae I Pool 7% 1/15/2028  | 33 | 33 |
| Ginnie Mae I Pool 7% 1/15/2029  | 997 | 1013 |
| Ginnie Mae I Pool 7% 1/15/2029  | 519 | 528 |
| Ginnie Mae I Pool 7% 1/15/2029  | 359 | 365 |
| Ginnie Mae I Pool 7% 1/15/2029  | 261 | 265 |
| Ginnie Mae I Pool 7% 1/15/2029  | 200 | 204 |
| Ginnie Mae I Pool 7% 1/15/2029  | 65 | 66 |
| Ginnie Mae I Pool 7% 1/15/2030  | 1635 | 1666 |
| Ginnie Mae I Pool 7% 1/15/2030  | 145 | 147 |
| Ginnie Mae I Pool 7% 1/15/2031  | 1779 | 1822 |
| Ginnie Mae I Pool 7% 1/15/2031  | 1004 | 1031 |
| Ginnie Mae I Pool 7% 1/15/2032  | 3755 | 3861 |
| Ginnie Mae I Pool 7% 10/15/2026  | 9 | 9 |
| Ginnie Mae I Pool 7% 10/15/2027  | 804 | 810 |
| Ginnie Mae I Pool 7% 10/15/2028  | 1407 | 1428 |
| Ginnie Mae I Pool 7% 10/15/2028  | 248 | 251 |
| Ginnie Mae I Pool 7% 10/15/2029  | 357 | 364 |
| Ginnie Mae I Pool 7% 10/15/2029  | 79 | 80 |
| Ginnie Mae I Pool 7% 10/15/2030  | 453 | 462 |
| Ginnie Mae I Pool 7% 10/15/2031  | 3042 | 3134 |
| Ginnie Mae I Pool 7% 10/15/2031  | 1154 | 1170 |
| Ginnie Mae I Pool 7% 10/15/2031  | 891 | 917 |
| Ginnie Mae I Pool 7% 10/15/2031  | 856 | 881 |
| Ginnie Mae I Pool 7% 10/15/2031  | 734 | 753 |
| Ginnie Mae I Pool 7% 10/15/2031  | 27 | 28 |
| Ginnie Mae I Pool 7% 11/15/2027  | 35 | 35 |
| Ginnie Mae I Pool 7% 11/15/2028  | 523 | 532 |
| Ginnie Mae I Pool 7% 11/15/2028  | 256 | 260 |
| Ginnie Mae I Pool 7% 11/15/2028  | 42 | 43 |
| Ginnie Mae I Pool 7% 11/15/2029  | 1458 | 1490 |
| Ginnie Mae I Pool 7% 11/15/2031  | 1727 | 1777 |
| Ginnie Mae I Pool 7% 11/15/2031  | 1656 | 1690 |
| Ginnie Mae I Pool 7% 11/15/2031  | 848 | 868 |
| Ginnie Mae I Pool 7% 11/15/2032  | 390 | 401 |
| Ginnie Mae I Pool 7% 12/15/2027  | 361 | 365 |
| Ginnie Mae I Pool 7% 12/15/2027  | 278 | 282 |
| Ginnie Mae I Pool 7% 12/15/2027  | 97 | 98 |
| Ginnie Mae I Pool 7% 12/15/2027  | 42 | 43 |
| Ginnie Mae I Pool 7% 12/15/2028  | 552 | 561 |
| Ginnie Mae I Pool 7% 12/15/2028  | 241 | 245 |
| Ginnie Mae I Pool 7% 12/15/2028  | 159 | 162 |
| Ginnie Mae I Pool 7% 12/15/2028  | 78 | 79 |
| Ginnie Mae I Pool 7% 12/15/2028  | 32 | 32 |
| Ginnie Mae I Pool 7% 12/15/2028  | 11 | 11 |
| Ginnie Mae I Pool 7% 12/15/2030  | 1720 | 1766 |
| Ginnie Mae I Pool 7% 12/15/2030  | 790 | 812 |
| Ginnie Mae I Pool 7% 12/15/2031  | 2881 | 2963 |
| Ginnie Mae I Pool 7% 12/15/2031  | 1380 | 1421 |
| Ginnie Mae I Pool 7% 12/15/2031  | 132 | 136 |
| Ginnie Mae I Pool 7% 2/15/2028  | 835 | 845 |
| Ginnie Mae I Pool 7% 2/15/2028  | 514 | 520 |
| Ginnie Mae I Pool 7% 2/15/2028  | 185 | 186 |
| Ginnie Mae I Pool 7% 2/15/2028  | 152 | 152 |
| Ginnie Mae I Pool 7% 2/15/2028  | 145 | 146 |
| Ginnie Mae I Pool 7% 2/15/2028  | 76 | 77 |
| Ginnie Mae I Pool 7% 2/15/2028  | 51 | 51 |
| Ginnie Mae I Pool 7% 2/15/2028  | 27 | 28 |
| Ginnie Mae I Pool 7% 2/15/2028  | 22 | 22 |
| Ginnie Mae I Pool 7% 2/15/2028  | 19 | 19 |
| Ginnie Mae I Pool 7% 2/15/2028  | 8 | 8 |
| Ginnie Mae I Pool 7% 2/15/2029  | 111 | 113 |
| Ginnie Mae I Pool 7% 2/15/2029  | 69 | 69 |
| Ginnie Mae I Pool 7% 2/15/2029  | 61 | 62 |
| Ginnie Mae I Pool 7% 2/15/2031  | 6764 | 6951 |
| Ginnie Mae I Pool 7% 2/15/2032  | 4543 | 4685 |
| Ginnie Mae I Pool 7% 2/15/2032  | 3825 | 3936 |
| Ginnie Mae I Pool 7% 2/15/2032  | 2554 | 2603 |
| Ginnie Mae I Pool 7% 2/15/2032  | 1249 | 1286 |
| Ginnie Mae I Pool 7% 2/15/2032  | 452 | 465 |
| Ginnie Mae I Pool 7% 2/15/2032  | 319 | 324 |
| Ginnie Mae I Pool 7% 2/15/2032  | 299 | 308 |
| Ginnie Mae I Pool 7% 3/15/2028  | 496 | 501 |
| Ginnie Mae I Pool 7% 3/15/2028  | 286 | 289 |
| Ginnie Mae I Pool 7% 3/15/2028  | 222 | 224 |
| Ginnie Mae I Pool 7% 3/15/2028  | 167 | 168 |
| Ginnie Mae I Pool 7% 3/15/2028  | 118 | 119 |
| Ginnie Mae I Pool 7% 3/15/2028  | 91 | 92 |
| Ginnie Mae I Pool 7% 3/15/2028  | 90 | 91 |
| Ginnie Mae I Pool 7% 3/15/2028  | 51 | 51 |
| Ginnie Mae I Pool 7% 3/15/2029  | 700 | 712 |
| Ginnie Mae I Pool 7% 3/15/2029  | 321 | 327 |
| Ginnie Mae I Pool 7% 3/15/2029  | 177 | 179 |
| Ginnie Mae I Pool 7% 3/15/2029  | 79 | 80 |
| Ginnie Mae I Pool 7% 3/15/2029  | 51 | 51 |
| Ginnie Mae I Pool 7% 3/15/2029  | 45 | 45 |
| Ginnie Mae I Pool 7% 3/15/2031  | 8082 | 8273 |
| Ginnie Mae I Pool 7% 3/15/2031  | 765 | 775 |
| Ginnie Mae I Pool 7% 3/15/2031  | 284 | 292 |
| Ginnie Mae I Pool 7% 3/15/2031  | 270 | 277 |
| Ginnie Mae I Pool 7% 3/15/2031  | 201 | 206 |
| Ginnie Mae I Pool 7% 3/15/2032  | 1791 | 1847 |
| Ginnie Mae I Pool 7% 3/15/2032  | 777 | 801 |
| Ginnie Mae I Pool 7% 3/15/2032  | 624 | 644 |
| Ginnie Mae I Pool 7% 3/15/2032  | 283 | 291 |
| Ginnie Mae I Pool 7% 3/15/2032  | 189 | 194 |
| Ginnie Mae I Pool 7% 3/15/2032  | 145 | 149 |
| Ginnie Mae I Pool 7% 3/15/2032  | 109 | 111 |
| Ginnie Mae I Pool 7% 3/15/2032  | 23 | 24 |
| Ginnie Mae I Pool 7% 4/15/2028  | 487 | 494 |
| Ginnie Mae I Pool 7% 4/15/2028  | 305 | 309 |
| Ginnie Mae I Pool 7% 4/15/2028  | 221 | 223 |
| Ginnie Mae I Pool 7% 4/15/2028  | 175 | 177 |
| Ginnie Mae I Pool 7% 4/15/2028  | 108 | 109 |
| Ginnie Mae I Pool 7% 4/15/2028  | 75 | 76 |
| Ginnie Mae I Pool 7% 4/15/2028  | 47 | 48 |
| Ginnie Mae I Pool 7% 4/15/2028  | 35 | 36 |
| Ginnie Mae I Pool 7% 4/15/2028  | 15 | 15 |
| Ginnie Mae I Pool 7% 4/15/2028  | 12 | 12 |
| Ginnie Mae I Pool 7% 4/15/2029  | 474 | 482 |
| Ginnie Mae I Pool 7% 4/15/2029  | 45 | 46 |
| Ginnie Mae I Pool 7% 4/15/2029  | 24 | 25 |
| Ginnie Mae I Pool 7% 4/15/2030  | 439 | 450 |
| Ginnie Mae I Pool 7% 4/15/2031  | 2454 | 2520 |
| Ginnie Mae I Pool 7% 4/15/2031  | 849 | 873 |
| Ginnie Mae I Pool 7% 4/15/2031  | 493 | 507 |
| Ginnie Mae I Pool 7% 4/15/2031  | 205 | 211 |
| Ginnie Mae I Pool 7% 4/15/2031  | 108 | 111 |
| Ginnie Mae I Pool 7% 4/15/2032  | 9951 | 10225 |
| Ginnie Mae I Pool 7% 4/15/2032  | 2794 | 2883 |
| Ginnie Mae I Pool 7% 4/15/2032  | 1440 | 1482 |
| Ginnie Mae I Pool 7% 4/15/2032  | 1210 | 1246 |
| Ginnie Mae I Pool 7% 4/15/2032  | 997 | 1028 |
| Ginnie Mae I Pool 7% 4/15/2032  | 429 | 440 |
| Ginnie Mae I Pool 7% 4/15/2032  | 380 | 390 |
| Ginnie Mae I Pool 7% 4/15/2032  | 267 | 275 |
| Ginnie Mae I Pool 7% 4/15/2032  | 239 | 240 |
| Ginnie Mae I Pool 7% 4/15/2032  | 227 | 234 |
| Ginnie Mae I Pool 7% 4/15/2032  | 220 | 226 |
| Ginnie Mae I Pool 7% 4/15/2032  | 95 | 96 |
| Ginnie Mae I Pool 7% 4/20/2032  | 36801 | 38073 |
| Ginnie Mae I Pool 7% 5/15/2027  | 6 | 6 |
| Ginnie Mae I Pool 7% 5/15/2028  | 861 | 870 |
| Ginnie Mae I Pool 7% 5/15/2028  | 662 | 671 |
| Ginnie Mae I Pool 7% 5/15/2028  | 371 | 373 |
| Ginnie Mae I Pool 7% 5/15/2028  | 306 | 311 |
| Ginnie Mae I Pool 7% 5/15/2028  | 61 | 62 |
| Ginnie Mae I Pool 7% 5/15/2028  | 38 | 39 |
| Ginnie Mae I Pool 7% 5/15/2028  | 33 | 34 |
| Ginnie Mae I Pool 7% 5/15/2028  | 20 | 20 |
| Ginnie Mae I Pool 7% 5/15/2028  | 19 | 19 |
| Ginnie Mae I Pool 7% 5/15/2029  | 324 | 330 |
| Ginnie Mae I Pool 7% 5/15/2030  | 248 | 252 |
| Ginnie Mae I Pool 7% 5/15/2031  | 11060 | 11364 |
| Ginnie Mae I Pool 7% 5/15/2031  | 850 | 869 |
| Ginnie Mae I Pool 7% 5/15/2031  | 439 | 451 |
| Ginnie Mae I Pool 7% 5/15/2031  | 192 | 194 |
| Ginnie Mae I Pool 7% 5/15/2032  | 14104 | 14555 |
| Ginnie Mae I Pool 7% 5/15/2032  | 3521 | 3622 |
| Ginnie Mae I Pool 7% 5/15/2032  | 1691 | 1746 |
| Ginnie Mae I Pool 7% 5/15/2032  | 1543 | 1588 |
| Ginnie Mae I Pool 7% 5/15/2032  | 1546 | 1588 |
| Ginnie Mae I Pool 7% 5/15/2032  | 1389 | 1434 |
| Ginnie Mae I Pool 7% 5/15/2032  | 785 | 804 |
| Ginnie Mae I Pool 7% 5/15/2032  | 764 | 786 |
| Ginnie Mae I Pool 7% 5/15/2032  | 484 | 491 |
| Ginnie Mae I Pool 7% 5/15/2032  | 407 | 416 |
| Ginnie Mae I Pool 7% 5/15/2032  | 362 | 372 |
| Ginnie Mae I Pool 7% 5/15/2032  | 306 | 315 |
| Ginnie Mae I Pool 7% 5/15/2032  | 260 | 267 |
| Ginnie Mae I Pool 7% 5/15/2032  | 91 | 94 |
| Ginnie Mae I Pool 7% 5/15/2032  | 47 | 48 |
| Ginnie Mae I Pool 7% 6/15/2028  | 3311 | 3347 |
| Ginnie Mae I Pool 7% 6/15/2028  | 1395 | 1412 |
| Ginnie Mae I Pool 7% 6/15/2028  | 491 | 497 |
| Ginnie Mae I Pool 7% 6/15/2028  | 485 | 492 |
| Ginnie Mae I Pool 7% 6/15/2028  | 407 | 413 |
| Ginnie Mae I Pool 7% 6/15/2028  | 327 | 331 |
| Ginnie Mae I Pool 7% 6/15/2028  | 239 | 242 |
| Ginnie Mae I Pool 7% 6/15/2028  | 202 | 204 |
| Ginnie Mae I Pool 7% 6/15/2028  | 175 | 177 |
| Ginnie Mae I Pool 7% 6/15/2028  | 143 | 145 |
| Ginnie Mae I Pool 7% 6/15/2028  | 141 | 143 |
| Ginnie Mae I Pool 7% 6/15/2028  | 120 | 121 |
| Ginnie Mae I Pool 7% 6/15/2028  | 59 | 60 |
| Ginnie Mae I Pool 7% 6/15/2028  | 57 | 58 |
| Ginnie Mae I Pool 7% 6/15/2028  | 55 | 56 |
| Ginnie Mae I Pool 7% 6/15/2028  | 38 | 38 |
| Ginnie Mae I Pool 7% 6/15/2028  | 17 | 17 |
| Ginnie Mae I Pool 7% 6/15/2029  | 2691 | 2744 |
| Ginnie Mae I Pool 7% 6/15/2029  | 249 | 254 |
| Ginnie Mae I Pool 7% 6/15/2029  | 160 | 164 |
| Ginnie Mae I Pool 7% 6/15/2029  | 112 | 115 |
| Ginnie Mae I Pool 7% 6/15/2029  | 110 | 112 |
| Ginnie Mae I Pool 7% 6/15/2031  | 20912 | 21503 |
| Ginnie Mae I Pool 7% 6/15/2031  | 2754 | 2831 |
| Ginnie Mae I Pool 7% 6/15/2031  | 1162 | 1195 |
| Ginnie Mae I Pool 7% 6/15/2031  | 548 | 564 |
| Ginnie Mae I Pool 7% 6/15/2031  | 25 | 25 |
| Ginnie Mae I Pool 7% 6/15/2032  | 1820 | 1870 |
| Ginnie Mae I Pool 7% 6/15/2032  | 956 | 981 |
| Ginnie Mae I Pool 7% 6/15/2032  | 499 | 515 |
| Ginnie Mae I Pool 7% 6/15/2032  | 461 | 472 |
| Ginnie Mae I Pool 7% 6/15/2032  | 335 | 345 |
| Ginnie Mae I Pool 7% 6/15/2032  | 324 | 334 |
| Ginnie Mae I Pool 7% 6/15/2032  | 281 | 290 |
| Ginnie Mae I Pool 7% 6/15/2032  | 70 | 72 |
| Ginnie Mae I Pool 7% 7/15/2028  | 573 | 580 |
| Ginnie Mae I Pool 7% 7/15/2028  | 291 | 295 |
| Ginnie Mae I Pool 7% 7/15/2028  | 287 | 290 |
| Ginnie Mae I Pool 7% 7/15/2028  | 111 | 112 |
| Ginnie Mae I Pool 7% 7/15/2028  | 91 | 92 |
| Ginnie Mae I Pool 7% 7/15/2028  | 88 | 89 |
| Ginnie Mae I Pool 7% 7/15/2028  | 85 | 85 |
| Ginnie Mae I Pool 7% 7/15/2028  | 77 | 78 |
| Ginnie Mae I Pool 7% 7/15/2028  | 36 | 36 |
| Ginnie Mae I Pool 7% 7/15/2028  | 34 | 34 |
| Ginnie Mae I Pool 7% 7/15/2029  | 640 | 653 |
| Ginnie Mae I Pool 7% 7/15/2029  | 480 | 489 |
| Ginnie Mae I Pool 7% 7/15/2029  | 350 | 355 |
| Ginnie Mae I Pool 7% 7/15/2029  | 238 | 242 |
| Ginnie Mae I Pool 7% 7/15/2029  | 34 | 34 |
| Ginnie Mae I Pool 7% 7/15/2031  | 12030 | 12365 |
| Ginnie Mae I Pool 7% 7/15/2031  | 8622 | 8866 |
| Ginnie Mae I Pool 7% 7/15/2031  | 3747 | 3842 |
| Ginnie Mae I Pool 7% 7/15/2031  | 1904 | 1960 |
| Ginnie Mae I Pool 7% 7/15/2031  | 1193 | 1225 |
| Ginnie Mae I Pool 7% 7/15/2031  | 480 | 491 |
| Ginnie Mae I Pool 7% 7/15/2031  | 269 | 275 |
| Ginnie Mae I Pool 7% 7/15/2031  | 4 | 4 |
| Ginnie Mae I Pool 7% 7/15/2032  | 6136 | 6318 |
| Ginnie Mae I Pool 7% 7/15/2032  | 976 | 1009 |
| Ginnie Mae I Pool 7% 7/15/2032  | 735 | 753 |
| Ginnie Mae I Pool 7% 7/15/2032  | 542 | 557 |
| Ginnie Mae I Pool 7% 7/15/2032  | 530 | 547 |
| Ginnie Mae I Pool 7% 7/15/2032  | 501 | 517 |
| Ginnie Mae I Pool 7% 7/15/2032  | 110 | 114 |
| Ginnie Mae I Pool 7% 8/15/2028  | 32 | 33 |
| Ginnie Mae I Pool 7% 8/15/2029  | 82 | 84 |
| Ginnie Mae I Pool 7% 8/15/2029  | 34 | 34 |
| Ginnie Mae I Pool 7% 8/15/2029  | 17 | 17 |
| Ginnie Mae I Pool 7% 8/15/2031  | 1429 | 1470 |
| Ginnie Mae I Pool 7% 8/15/2031  | 906 | 933 |
| Ginnie Mae I Pool 7% 8/15/2031  | 668 | 687 |
| Ginnie Mae I Pool 7% 8/15/2031  | 465 | 479 |
| Ginnie Mae I Pool 7% 8/15/2031  | 360 | 370 |
| Ginnie Mae I Pool 7% 8/15/2031  | 272 | 279 |
| Ginnie Mae I Pool 7% 8/15/2031  | 248 | 255 |
| Ginnie Mae I Pool 7% 8/15/2032  | 25173 | 25919 |
| Ginnie Mae I Pool 7% 8/15/2032  | 786 | 805 |
| Ginnie Mae I Pool 7% 8/15/2032  | 475 | 488 |
| Ginnie Mae I Pool 7% 8/15/2032  | 458 | 473 |
| Ginnie Mae I Pool 7% 8/15/2032  | 370 | 382 |
| Ginnie Mae I Pool 7% 8/15/2032  | 318 | 327 |
| Ginnie Mae I Pool 7% 8/15/2032  | 227 | 233 |
| Ginnie Mae I Pool 7% 8/15/2032  | 100 | 100 |
| Ginnie Mae I Pool 7% 9/15/2027  | 27 | 27 |
| Ginnie Mae I Pool 7% 9/15/2028  | 506 | 514 |
| Ginnie Mae I Pool 7% 9/15/2028  | 108 | 110 |
| Ginnie Mae I Pool 7% 9/15/2028  | 71 | 72 |
| Ginnie Mae I Pool 7% 9/15/2028  | 51 | 52 |
| Ginnie Mae I Pool 7% 9/15/2028  | 48 | 48 |
| Ginnie Mae I Pool 7% 9/15/2028  | 23 | 23 |
| Ginnie Mae I Pool 7% 9/15/2029  | 45 | 45 |
| Ginnie Mae I Pool 7% 9/15/2031  | 1878 | 1933 |
| Ginnie Mae I Pool 7% 9/15/2031  | 1563 | 1609 |
| Ginnie Mae I Pool 7% 9/15/2031  | 1236 | 1272 |
| Ginnie Mae I Pool 7% 9/15/2031  | 611 | 628 |
| Ginnie Mae I Pool 7% 9/15/2031  | 457 | 470 |
| Ginnie Mae I Pool 7% 9/15/2031  | 155 | 159 |
| Ginnie Mae I Pool 7% 9/15/2031  | 126 | 130 |
| Ginnie Mae I Pool 7% 9/15/2031  | 62 | 64 |
| Ginnie Mae I Pool 7% 9/15/2032  | 65643 | 67364 |
| Ginnie Mae I Pool 7.5% 1/15/2031  | 261 | 270 |
| Ginnie Mae I Pool 7.5% 1/15/2031  | 78 | 80 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 590 | 598 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 562 | 565 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 419 | 425 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 398 | 403 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 134 | 135 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 81 | 82 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 58 | 59 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 30 | 31 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 29 | 30 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 21 | 21 |
| Ginnie Mae I Pool 7.5% 11/15/2027  | 58 | 58 |
| Ginnie Mae I Pool 7.5% 11/15/2027  | 40 | 40 |
| Ginnie Mae I Pool 7.5% 11/15/2027  | 31 | 31 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 301 | 306 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 232 | 235 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 217 | 219 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 23 | 23 |
| Ginnie Mae I Pool 7.5% 2/15/2027  | 53 | 54 |
| Ginnie Mae I Pool 7.5% 3/15/2028  | 229 | 234 |
| Ginnie Mae I Pool 7.5% 3/15/2031  | 1082 | 1126 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 336 | 338 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 159 | 160 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 77 | 78 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 58 | 58 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 54 | 54 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 40 | 40 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 24 | 24 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 15 | 15 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 15 | 15 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 6 | 6 |
| Ginnie Mae I Pool 7.5% 5/15/2027  | 91 | 91 |
| Ginnie Mae I Pool 7.5% 5/15/2027  | 57 | 58 |
| Ginnie Mae I Pool 7.5% 5/15/2027  | 4 | 4 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 412 | 415 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 283 | 285 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 122 | 122 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 77 | 77 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 70 | 71 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 36 | 36 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 17 | 17 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 16 | 16 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 6 | 6 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 697 | 705 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 585 | 592 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 253 | 255 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 215 | 217 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 207 | 208 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 160 | 162 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 157 | 159 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 68 | 69 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 21 | 22 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 22 | 22 |
| Ginnie Mae I Pool 7.5% 7/15/2028  | 1342 | 1370 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 214 | 219 |
| Ginnie Mae I Pool 7.5% 8/15/2026  | 3 | 3 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 769 | 778 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 331 | 335 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 252 | 254 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 115 | 116 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 64 | 64 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 36 | 36 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 25 | 25 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 7 | 7 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 655 | 670 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 455 | 462 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 351 | 359 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 269 | 275 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 107 | 109 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 9 | 9 |
| Ginnie Mae I Pool 7.5% 8/15/2029  | 56 | 57 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 754 | 764 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 60 | 60 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 37 | 38 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 9 | 9 |
| Ginnie Mae I Pool 7.5% 9/15/2028  | 817 | 836 |
| Ginnie Mae I Pool 7.5% 9/15/2031  | 2071 | 2143 |
| Ginnie Mae I Pool 8% 1/15/2028  | 436 | 442 |
| Ginnie Mae I Pool 8% 10/15/2029  | 134 | 137 |
| Ginnie Mae I Pool 8% 11/15/2027  | 83 | 84 |
| Ginnie Mae I Pool 8% 12/15/2027  | 455 | 461 |
| Ginnie Mae I Pool 8% 12/15/2027  | 145 | 147 |
| Ginnie Mae I Pool 8% 12/15/2027  | 105 | 106 |
| Ginnie Mae I Pool 8% 12/15/2027  | 46 | 47 |
| Ginnie Mae I Pool 8% 7/15/2027  | 137 | 138 |
| Ginnie Mae I Pool 8% 8/15/2027  | 38 | 38 |
| Ginnie Mae I Pool 8% 8/15/2027  | 33 | 33 |
| Ginnie Mae I Pool 8% 9/15/2026  | 2 | 2 |
| Ginnie Mae I Pool 8% 9/15/2029  | 72 | 73 |
| Ginnie Mae I Pool 8.5% 1/15/2031  | 2515 | 2605 |
| Ginnie Mae I Pool 8.5% 11/15/2027  | 40 | 40 |
| Ginnie Mae I Pool 8.5% 11/15/2031  | 75 | 77 |
| Ginnie Mae I Pool 8.5% 12/15/2029  | 128 | 132 |
| Ginnie Mae I Pool 8.5% 4/15/2030  | 568 | 583 |
| Ginnie Mae I Pool 8.5% 7/15/2030  | 3663 | 3776 |
| Ginnie Mae I Pool 8.5% 8/15/2029  | 781 | 799 |
| Ginnie Mae II Pool 2% 1/20/2051  | 117630364 | 96986294 |
| Ginnie Mae II Pool 2% 12/20/2051  | 123446 | 101781 |
| Ginnie Mae II Pool 2% 2/20/2052  | 55106493 | 45435331 |
| Ginnie Mae II Pool 2% 3/20/2051  | 576625 | 475428 |
| Ginnie Mae II Pool 2% 3/20/2052  | 47293943 | 38993880 |
| Ginnie Mae II Pool 2% 4/1/2056 (g) | 121200000 | 99848911 |
| Ginnie Mae II Pool 2% 5/1/2056 (g) | 84625000 | 69684059 |
| Ginnie Mae II Pool 2% 5/20/2051  | 5917067 | 4878625 |
| Ginnie Mae II Pool 2% 8/20/2050  | 1037894 | 857041 |
| Ginnie Mae II Pool 2% 8/20/2051  | 96155262 | 79280062 |
| Ginnie Mae II Pool 2% 9/20/2050  | 18934736 | 15635368 |
| Ginnie Mae II Pool 2% 9/20/2051  | 232561 | 191747 |
| Ginnie Mae II Pool 2.5% 10/20/2051  | 575337 | 494256 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 2591016 | 2225869 |
| Ginnie Mae II Pool 2.5% 2/20/2052  | 148134 | 127257 |
| Ginnie Mae II Pool 2.5% 4/1/2056 (g) | 65200000 | 55974057 |
| Ginnie Mae II Pool 2.5% 4/20/2052  | 11842206 | 10173308 |
| Ginnie Mae II Pool 2.5% 6/20/2051  | 16000072 | 13745214 |
| Ginnie Mae II Pool 2.5% 7/20/2051  | 122509 | 105244 |
| Ginnie Mae II Pool 2.5% 8/20/2051  | 39313692 | 33773292 |
| Ginnie Mae II Pool 3% 1/20/2032  | 2474552 | 2411390 |
| Ginnie Mae II Pool 3% 10/20/2031  | 811247 | 791313 |
| Ginnie Mae II Pool 3% 10/20/2049  | 74252 | 66586 |
| Ginnie Mae II Pool 3% 11/20/2031  | 869926 | 847994 |
| Ginnie Mae II Pool 3% 12/20/2031  | 1317108 | 1284326 |
| Ginnie Mae II Pool 3% 12/20/2046  | 5036915 | 4562561 |
| Ginnie Mae II Pool 3% 2/20/2031  | 101862 | 99628 |
| Ginnie Mae II Pool 3% 3/20/2031  | 205794 | 201208 |
| Ginnie Mae II Pool 3% 3/20/2050  | 3742174 | 3348823 |
| Ginnie Mae II Pool 3% 4/20/2031  | 776110 | 758556 |
| Ginnie Mae II Pool 3% 4/20/2052  | 20454655 | 18253468 |
| Ginnie Mae II Pool 3% 5/20/2031  | 1668637 | 1630343 |
| Ginnie Mae II Pool 3% 5/20/2050  | 1408329 | 1260295 |
| Ginnie Mae II Pool 3% 5/20/2051  | 3128990 | 2793834 |
| Ginnie Mae II Pool 3% 5/20/2052  | 66761218 | 59576843 |
| Ginnie Mae II Pool 3% 6/20/2050  | 25879 | 23150 |
| Ginnie Mae II Pool 3% 6/20/2051  | 828975 | 740284 |
| Ginnie Mae II Pool 3% 7/20/2031  | 21869 | 21353 |
| Ginnie Mae II Pool 3% 7/20/2051  | 1050793 | 939028 |
| Ginnie Mae II Pool 3% 8/20/2031  | 256392 | 250257 |
| Ginnie Mae II Pool 3% 8/20/2051  | 1247921 | 1115188 |
| Ginnie Mae II Pool 3% 9/20/2031  | 102335 | 99853 |
| Ginnie Mae II Pool 3% 9/20/2051  | 16314 | 14563 |
| Ginnie Mae II Pool 3.5% 1/20/2042  | 12953 | 12311 |
| Ginnie Mae II Pool 3.5% 1/20/2044  | 19132 | 18051 |
| Ginnie Mae II Pool 3.5% 10/20/2040  | 5499 | 5238 |
| Ginnie Mae II Pool 3.5% 10/20/2041  | 8972 | 8528 |
| Ginnie Mae II Pool 3.5% 10/20/2043  | 3856 | 3641 |
| Ginnie Mae II Pool 3.5% 11/20/2041  | 1093395 | 1039441 |
| Ginnie Mae II Pool 3.5% 11/20/2043  | 8064 | 7614 |
| Ginnie Mae II Pool 3.5% 12/20/2040  | 2086 | 1988 |
| Ginnie Mae II Pool 3.5% 12/20/2041  | 5186708 | 4930822 |
| Ginnie Mae II Pool 3.5% 2/20/2043  | 149537 | 141503 |
| Ginnie Mae II Pool 3.5% 3/20/2043  | 183702 | 173794 |
| Ginnie Mae II Pool 3.5% 4/20/2043  | 330107 | 312234 |
| Ginnie Mae II Pool 3.5% 4/20/2044  | 4171 | 3932 |
| Ginnie Mae II Pool 3.5% 5/20/2043  | 5426914 | 5110052 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 218338 | 204651 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 52270 | 48993 |
| Ginnie Mae II Pool 3.5% 7/20/2043  | 113973 | 107773 |
| Ginnie Mae II Pool 3.5% 8/20/2043  | 5458 | 5158 |
| Ginnie Mae II Pool 3.5% 9/20/2040  | 9426 | 8977 |
| Ginnie Mae II Pool 3.5% 9/20/2043  | 4399338 | 4154859 |
| Ginnie Mae II Pool 4% 1/20/2041  | 1099970 | 1065031 |
| Ginnie Mae II Pool 4% 1/20/2042  | 1162151 | 1123189 |
| Ginnie Mae II Pool 4% 1/20/2045  | 375637 | 360860 |
| Ginnie Mae II Pool 4% 1/20/2046  | 44581 | 42717 |
| Ginnie Mae II Pool 4% 10/20/2040  | 730508 | 707487 |
| Ginnie Mae II Pool 4% 10/20/2041  | 3116114 | 3012974 |
| Ginnie Mae II Pool 4% 11/20/2040  | 2887405 | 2795612 |
| Ginnie Mae II Pool 4% 11/20/2041  | 101658 | 98266 |
| Ginnie Mae II Pool 4% 12/20/2040  | 59920 | 58026 |
| Ginnie Mae II Pool 4% 12/20/2041  | 875221 | 845876 |
| Ginnie Mae II Pool 4% 2/20/2041  | 88628 | 85799 |
| Ginnie Mae II Pool 4% 3/20/2041  | 192703 | 186547 |
| Ginnie Mae II Pool 4% 3/20/2046  | 13982 | 13401 |
| Ginnie Mae II Pool 4% 3/20/2047  | 129748 | 124114 |
| Ginnie Mae II Pool 4% 4/1/2056 (g) | 10900000 | 10197886 |
| Ginnie Mae II Pool 4% 4/20/2042  | 619262 | 598187 |
| Ginnie Mae II Pool 4% 4/20/2047  | 3673388 | 3513871 |
| Ginnie Mae II Pool 4% 5/20/2046  | 3426412 | 3282094 |
| Ginnie Mae II Pool 4% 6/20/2042  | 8477 | 8186 |
| Ginnie Mae II Pool 4% 8/20/2041  | 21338 | 20634 |
| Ginnie Mae II Pool 4% 8/20/2043  | 291003 | 280344 |
| Ginnie Mae II Pool 4% 9/20/2040  | 845086 | 818419 |
| Ginnie Mae II Pool 4.5% 1/20/2041  | 211017 | 209604 |
| Ginnie Mae II Pool 4.5% 10/20/2035  | 2337 | 2329 |
| Ginnie Mae II Pool 4.5% 10/20/2039  | 32605 | 31896 |
| Ginnie Mae II Pool 4.5% 10/20/2040  | 458966 | 448899 |
| Ginnie Mae II Pool 4.5% 10/20/2040  | 45180 | 44884 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 192974 | 188522 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 45589 | 45286 |
| Ginnie Mae II Pool 4.5% 11/20/2054  | 44511439 | 43029199 |
| Ginnie Mae II Pool 4.5% 12/20/2039  | 181546 | 177655 |
| Ginnie Mae II Pool 4.5% 12/20/2040  | 92057 | 89943 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 1104368 | 1096913 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 7937 | 7754 |
| Ginnie Mae II Pool 4.5% 3/20/2036  | 15816 | 15761 |
| Ginnie Mae II Pool 4.5% 3/20/2041  | 72069 | 71583 |
| Ginnie Mae II Pool 4.5% 4/20/2040  | 86306 | 84379 |
| Ginnie Mae II Pool 4.5% 4/20/2041  | 457045 | 453933 |
| Ginnie Mae II Pool 4.5% 5/20/2040  | 78137 | 77645 |
| Ginnie Mae II Pool 4.5% 5/20/2041  | 4585869 | 4554386 |
| Ginnie Mae II Pool 4.5% 6/20/2033  | 7163 | 7144 |
| Ginnie Mae II Pool 4.5% 6/20/2039  | 35825 | 35075 |
| Ginnie Mae II Pool 4.5% 6/20/2040  | 83651 | 81874 |
| Ginnie Mae II Pool 4.5% 6/20/2041  | 1240021 | 1231375 |
| Ginnie Mae II Pool 4.5% 7/20/2039  | 6838 | 6785 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 86847 | 86286 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 7348 | 7190 |
| Ginnie Mae II Pool 4.5% 8/20/2040  | 9461 | 9399 |
| Ginnie Mae II Pool 4.5% 9/20/2040  | 815398 | 810064 |
| Ginnie Mae II Pool 5% 12/20/2054  | 7922330 | 7887188 |
| Ginnie Mae II Pool 5% 9/20/2033  | 322582 | 325386 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 6346284 | 6405142 |
| Ginnie Mae II Pool 5.5% 4/1/2056 (g) | 655200000 | 658823322 |
| Ginnie Mae II Pool 5.5% 5/1/2056 (g) | 434900000 | 436421672 |
| Ginnie Mae II Pool 6% 11/20/2031  | 8849 | 9070 |
| Ginnie Mae II Pool 6% 12/20/2054  | 6103050 | 6218578 |
| Ginnie Mae II Pool 6% 4/1/2056 (g) | 153550000 | 156081180 |
| Ginnie Mae II Pool 6% 5/1/2056 (g) | 148700000 | 150971155 |
| Ginnie Mae II Pool 6% 5/20/2032  | 40780 | 41885 |
| Ginnie Mae II Pool 6.5% 1/20/2032  | 353 | 367 |
| Ginnie Mae II Pool 6.5% 11/20/2031  | 1576 | 1637 |
| Ginnie Mae II Pool 6.5% 3/20/2031  | 1931 | 2006 |
| Ginnie Mae II Pool 6.5% 4/1/2056 (g) | 35825000 | 37224414 |
| Ginnie Mae II Pool 6.5% 4/20/2031  | 222 | 231 |
| Ginnie Mae II Pool 6.5% 5/1/2056 (g) | 35825000 | 37115259 |
| Ginnie Mae II Pool 6.5% 6/20/2031  | 210 | 219 |
| Ginnie Mae II Pool 6.5% 7/20/2031  | 266 | 276 |
| Ginnie Mae II Pool 6.5% 8/20/2031  | 257 | 266 |
| Ginnie Mae II Pool 7% 2/20/2032  | 10918 | 11304 |
| Ginnie Mae II Pool 7% 3/20/2032  | 5637 | 5840 |
| Uniform Mortgage Backed Securities 2% 4/1/2056 (g) | 766850000 | 616325704 |
| Uniform Mortgage Backed Securities 2% 5/1/2056 (g) | 279675000 | 224690448 |
| Uniform Mortgage Backed Securities 2.5% 4/1/2056 (g) | 130300000 | 109533438 |
| Uniform Mortgage Backed Securities 3.5% 4/1/2056 (g) | 15800000 | 14475515 |
| Uniform Mortgage Backed Securities 4.5% 4/1/2056 (g) | 52500000 | 50621487 |
| Uniform Mortgage Backed Securities 5% 4/1/2041 (g) | 314075000 | 316172927 |
| Uniform Mortgage Backed Securities 5% 4/1/2056 (g) | 270325000 | 266449648 |
| Uniform Mortgage Backed Securities 5% 5/1/2041 (g) | 70000000 | 70401947 |
| Uniform Mortgage Backed Securities 5.5% 4/1/2056 (g) | 219400000 | 220317026 |
| Uniform Mortgage Backed Securities 6% 4/1/2056 (g) | 491625000 | 500958206 |
| Uniform Mortgage Backed Securities 6% 5/1/2056 (g) | 230425000 | 234511449 |
| Uniform Mortgage Backed Securities 7% 4/1/2056 (g) | 16750000 | 17611054 |
| TOTAL UNITED STATES |  | 8313235276 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $8,493,333,871) |  | <br> **8313235276** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 50.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 50.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 50.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 50.2%** |
|  | Yield (%) (o) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 1.875% 11/15/2051  | 2.09 to 2.15 | 120053000 | 65949428 |
| US Treasury Bonds 2% 8/15/2051  | 1.95 to 1.99 | 693544000 | 394859525 |
| US Treasury Bonds 2.875% 5/15/2052  | 2.97 to 3.16 | 556400000 | 385872091 |
| US Treasury Bonds 3% 2/15/2049  | 2.93 to 3.06 | 271460000 | 198261234 |
| US Treasury Bonds 3.625% 2/15/2053  | 3.80 to 3.81 | 193384000 | 155205767 |
| US Treasury Bonds 3.625% 5/15/2053  | 3.92 to 4.31 | 192000000 | 153952500 |
| US Treasury Bonds 4% 11/15/2052  | 4.95 to 5.00 | 129398000 | 111176134 |
| US Treasury Bonds 4.125% 8/15/2053  | 4.20 to 5.00 | 522303000 | 458035245 |
| US Treasury Bonds 4.25% 2/15/2054 (f) | 4.36 to 4.53 | 1126475000 | 1009075184 |
| US Treasury Bonds 4.25% 8/15/2054  | 4.63 to 4.65 | 110733000 | 99175243 |
| US Treasury Bonds 4.5% 2/15/2044  | 4.71 to 4.76 | 423952000 | 405420660 |
| US Treasury Bonds 4.625% 11/15/2044  | 4.61 to 5.12 | 72320000 | 69978075 |
| US Treasury Bonds 4.625% 11/15/2045  | 4.65 | 170000 | 163970 |
| US Treasury Bonds 4.625% 11/15/2055  | 4.79 | 81000000 | 77392969 |
| US Treasury Bonds 4.625% 5/15/2054  | 4.45 to 4.64 | 192000000 | 183067500 |
| US Treasury Bonds 4.75% 5/15/2055  | 4.83 to 4.98 | 281659000 | 274254450 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.69 to 4.92 | 183780000 | 179099353 |
| US Treasury Bonds 4.875% 8/15/2045  | 4.53 to 4.75 | 679898000 | 677667085 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.47 to 2.67 | 20182085 | 18775622 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2056  | 2.62 to 2.72 | 9825146 | 9133692 |
| US Treasury Notes 2.75% 8/15/2032  | 2.75 to 2.79 | 813762000 | 752634485 |
| US Treasury Notes 2.875% 5/15/2032  | 2.96 to 3.16 | 763588000 | 714133750 |
| US Treasury Notes 3.375% 5/15/2033  | 3.79 to 3.98 | 465000000 | 442966993 |
| US Treasury Notes 3.5% 2/15/2029  | 3.47 to 3.60 | 62751000 | 62206831 |
| US Treasury Notes 3.5% 2/15/2033  | 3.92 to 3.94 | 470900000 | 453094094 |
| US Treasury Notes 3.5% 3/15/2029  | 3.83 | 60000 | 59470 |
| US Treasury Notes 3.5% 4/30/2030  | 3.65 | 528900000 | 520842536 |
| US Treasury Notes 3.625% 8/31/2030  | 3.59 to 3.61 | 251500000 | 248415197 |
| US Treasury Notes 3.625% 9/30/2031  | 3.93 to 3.95 | 609000000 | 597462306 |
| US Treasury Notes 3.75% 1/31/2031  | 3.65 | 63000000 | 62463516 |
| US Treasury Notes 3.75% 10/31/2032  | 3.95 | 177500000 | 173804395 |
| US Treasury Notes 3.75% 2/28/2033  | 3.92 | 9150000 | 8941266 |
| US Treasury Notes 3.75% 5/31/2030  | 4.00 to 4.01 | 514100000 | 510967203 |
| US Treasury Notes 3.75% 6/30/2030  | 3.91 to 4.12 | 543000000 | 539478982 |
| US Treasury Notes 3.75% 8/31/2031  | 3.59 | 660000000 | 651801559 |
| US Treasury Notes 3.875% 12/31/2032  | 3.94 to 3.95 | 514500000 | 507043768 |
| US Treasury Notes 3.875% 8/15/2033  | 4.02 to 4.77 | 1134063000 | 1113286614 |
| US Treasury Notes 3.875% 8/15/2034  | 4.27 to 4.28 | 232400000 | 226468222 |
| US Treasury Notes 4% 1/31/2033  | 3.74 to 4.07 | 264200000 | 262177219 |
| US Treasury Notes 4% 11/15/2035  | 4.14 to 4.17 | 390170000 | 380598642 |
| US Treasury Notes 4% 4/30/2032  | 4.26 to 4.27 | 313000000 | 311838476 |
| US Treasury Notes 4% 7/31/2030  | 4.15 to 4.64 | 1606800000 | 1611884012 |
| US Treasury Notes 4% 7/31/2032  | 3.92 to 3.93 | 392000000 | 390024688 |
| US Treasury Notes 4.125% 10/31/2031  | 4.39 | 574600000 | 577607675 |
| US Treasury Notes 4.125% 11/15/2032  | 3.73 to 3.75 | 825807000 | 826097321 |
| US Treasury Notes 4.125% 2/15/2036  | 4.43 to 4.44 | 570700000 | 561782813 |
| US Treasury Notes 4.125% 5/31/2032  | 4.05 | 8625000 | 8648430 |
| US Treasury Notes 4.125% 7/31/2031  | 4.03 | 75000000 | 75480465 |
| US Treasury Notes 4.25% 1/31/2030  | 4.31 | 461200000 | 467037063 |
| US Treasury Notes 4.25% 11/15/2034  | 4.18 | 419800000 | 419685210 |
| US Treasury Notes 4.25% 5/15/2035  | 4.23 to 4.52 | 861450000 | 859161773 |
| US Treasury Notes 4.25% 8/15/2035  | 4.04 to 4.26 | 1542250000 | 1536466563 |
| US Treasury Notes 4.375% 5/15/2034  | 4.10 to 4.29 | 18000000 | 18189844 |
| US Treasury Notes 4.5% 11/15/2033  | 4.27 to 4.29 | 355600000 | 362962029 |
| US Treasury Notes 4.625% 2/15/2035  | 4.24 | 423050000 | 434022859 |
| US Treasury Notes 4.75% 2/15/2045  | 4.85 to 4.96 | 25740000 | 25291561 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $22,589,587,857) |  |  | **21641543557** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 2.7%** | &nbsp;&nbsp;**Money Market Funds - 2.7%** | &nbsp;&nbsp;**Money Market Funds - 2.7%** | &nbsp;&nbsp;**Money Market Funds - 2.7%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (p)<br>(Cost $1,148,870,900)<br>| 3.69 | 1148641761 | **1148871489** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 4.075% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/2030 | 29420000 | 949683 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.837% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 47480000 | 875614 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.8% and receive annually a floating rate based on US SOFR Index, expiring August 2036 | 8/2026 | 27050000 | 583406 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.565% and receive annually a floating rate based on US SOFR Index, expiring September 2036 | 9/2026 | 15730000 | 573501 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.887% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 9/2030 | 12870000 | 474433 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.855% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 36000000 | 571160 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.7375% and receive annually a floating rate based on US SOFR Index, expiring September 2036 | 9/2026 | 46310000 | 1230783 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 4.305% and receive annually a floating rate based on US SOFR Index, expiring March 2041 | 3/2031 | 31170000 | 1929495 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.34% and receive annually a floating rate based on US SOFR Index, expiring March 2041 | 3/2031 | 25580000 | 1574485 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 4.3625% and receive annually a floating rate based on US SOFR Index, expiring March 2041 | 3/2031 | 59420000 | 3620319 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.373% and receive annually a floating rate based on US SOFR Index, expiring March 2041 | 3/2031 | 35600000 | 2175160 |
| TOTAL PUT SWAPTIONS |  |  | 14558039 |
| Call Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.837% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 47480000 | 665822 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.8% and pay annually a floating rate based on US SOFR Index, expiring August 2036 | 8/2026 | 27050000 | 373889 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.855% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 36000000 | 474758 |
| TOTAL CALL SWAPTIONS |  |  | 1514469 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $17,947,966) |  |  | <br> **16072508** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 109.8%**<br> (Cost $48,926,985,730)<br>| <br>**47392907965** |
| **NET OTHER ASSETS (LIABILITIES) - (9.8)%**  | **(4215083640)** |
| **NET ASSETS - 100.0%** | **43177824325** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 2% 4/1/2056 | (96650000) | (79623740) |
| Ginnie Mae II Pool 4% 4/1/2056 | (10900000) | (10197886) |
| Ginnie Mae II Pool 4% 5/1/2056 | (10900000) | (10191500) |
| Ginnie Mae II Pool 5.5% 4/1/2056 | (473200000) | (475816843) |
| Ginnie Mae II Pool 6% 4/1/2056 | (95225000) | (96794727) |
| Ginnie Mae II Pool 6.5% 4/1/2056 | (35825000) | (37224414) |
| Uniform Mortgage Backed Securities 2% 4/1/2056 | (385875000) | (310131944) |
| Uniform Mortgage Backed Securities 2.5% 4/1/2056 | (32575000) | (27383359) |
| Uniform Mortgage Backed Securities 3.5% 4/1/2056 | (8700000) | (7970695) |
| Uniform Mortgage Backed Securities 4.5% 4/1/2056 | (20800000) | (20055751) |
| Uniform Mortgage Backed Securities 5% 4/1/2041 | (204900000) | (206268671) |
| Uniform Mortgage Backed Securities 5% 4/1/2056 | (93600000) | (92258160) |
| Uniform Mortgage Backed Securities 5.5% 4/1/2056 | (80600000) | (80936884) |
| Uniform Mortgage Backed Securities 6% 4/1/2056 | (472975000) | (481954147) |
| Uniform Mortgage Backed Securities 6% 5/1/2056 | (11400000) | (11602172) |
| Uniform Mortgage Backed Securities 6.5% 4/1/2056 | (19000000) | (19650157) |
| Uniform Mortgage Backed Securities 7% 4/1/2056 | (16750000) | (17611054) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (1985672104) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $1,990,466,457) |  | <br> **(1985672104)** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Written Swaptions** | &nbsp;&nbsp;**Written Swaptions** | &nbsp;&nbsp;**Written Swaptions** | &nbsp;&nbsp;**Written Swaptions** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions |  |  |  |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.34% and pay annually a floating rate based on US SOFR Index, expiring March 2041 | 3/2031 | 16190000 | (996945) |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.36% and pay annually a floating rate based on US SOFR Index, expiring March 2041 | 3/2031 | 21100000 | (1288418) |
| TOTAL PUT SWAPTIONS |  |  | (2285363) |
| Call Swaptions |  |  |  |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.34% and receive annually a floating rate based on US SOFR Index, expiring March 2041 | 3/2031 | 16190000 | (957254) |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.36% and receive annually a floating rate based on US SOFR Index, expiring March 2041 | 3/2031 | 21100000 | (1265331) |
| TOTAL CALL SWAPTIONS |  |  | (2222585) |
| **TOTAL WRITTEN SWAPTIONS** |  |  | **(4507948)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &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 ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | 571 | 6/2026 | 63381000 | 425911 |
| CBOT 2Y US Treasury Notes Contracts (United States) | 4363 | 6/2026 | 905220242 | (3079455) |
| CBOT 5Y US Treasury Notes Contracts (United States) | 5523 | 6/2026 | 597433266 | (7138339) |
| CBOT US Treasury Ultra Bond Contracts (United States) | 839 | 6/2026 | 97586188 | (1015025) |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **(10806908)** |
| The notional amount of long futures as a percentage of Net Assets is 3.8%. | The notional amount of long futures as a percentage of Net Assets is 3.8%. | The notional amount of long futures as a percentage of Net Assets is 3.8%. | The notional amount of long futures as a percentage of Net Assets is 3.8%. | The notional amount of long futures as a percentage of Net Assets is 3.8%. |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **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** | **Credit Default Swaps** |
| Underlying Reference | Rating(2) | Maturity <br> Date | Clearinghouse / <br> Counterparty | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(3)(1) | Value ($)(2) | Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 13 Index |  | 12/2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 13100000 | (56378) | (201613) | (257991) |
| CMBX AAA Series 13 Index |  | 12/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 17690000 | (76132) | (152599) | (228731) |
| CMBX AAA Series 13 Index |  | 12/2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 16000000 | (68859) | (102646) | (171505) |
| CMBX AAA Series 13 Index |  | 12/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 10070000 | (43338) | (104060) | (147398) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 20000 | 3665 | (4834) | (1169) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 700000 | 128268 | (175878) | (47610) |
| CMBX BBB- Series 16 Index |  | 4/2065 | JPMorgan Securities LLC | (3%) | Monthly | 580000 | 106279 | (158448) | (52169) |
| CMBX BBB- Series 16 Index |  | 4/2065 | JPMorgan Securities LLC | (3%) | Monthly | 550000 | 100782 | (159088) | (58306) |
| CMBX BBB- Series 16 Index |  | 4/2065 | JPMorgan Securities LLC | (3%) | Monthly | 450000 | 82458 | (113620) | (31162) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 20000 | 3665 | (5254) | (1589) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 590000 | 108112 | (133336) | (25224) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 130000 | 23821 | (28590) | (4769) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 240000 | 43978 | (38641) | 5337 |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 370000 | 67799 | (58261) | 9538 |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 400000 | 73296 | (60175) | 13121 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 1300000 | 113166 | (48530) | 64636 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (3%) | Monthly | 1300000 | 113166 | (49924) | 63242 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 1100000 | 95756 | (41619) | 54137 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 1400000 | 121871 | (52969) | 68902 |
| CMBX BBB- Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (3%) | Monthly | 1000000 | 87051 | (48435) | 38616 |
| CMBX BBB Series 15 Index |  | 11/2064 | Citigroup Global Markets Ltd | (3%) | Monthly | 800000 | 133588 | (125643) | 7945 |
| CMBX BB Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (5%) | Monthly | 2000000 | 333089 | (291348) | 41741 |
| CMBX BB Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly | 400000 | 66618 | (57536) | 9082 |
| CMBX BB Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly | 300000 | 49963 | (42320) | 7643 |
| CMBX BBB- Series 19 Index |  | 12/2058 | Goldman Sachs & Co LLC | (3%) | Monthly | 1400000 | 137551 | (99886) | 37665 |
| CMBX BBB- Series 19 Index |  | 12/2058 | JPMorgan Securities LLC | (3%) | Monthly | 2350000 | 230890 | (178007) | 52883 |
| CMBX BBB- Series 19 Index |  | 12/2058 | Citigroup Global Markets Ltd | (3%) | Monthly | 1850000 | 181764 | (147089) | 34675 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 300000 | 26115 | (26579) | (464) |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 400000 | 34820 | (35439) | (619) |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  | 2222824 | (2742367) | (519543) |
| Sell Protection |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 13 Index | NR | 12/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 35930000 | 154632 | 783516 | 938148 |
| CMBX AAA Series 13 Index | NR | 12/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 20930000 | 90076 | 469383 | 559459 |
| CMBX AAA Series 15 Index | NR | 11/2064 | Citigroup Global Markets Ltd | 0.5% | Monthly | 1447930 | (2801) | 18959 | 16158 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 275000 | (3969) | 6529 | 2560 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 900000 | (12990) | 21503 | 8513 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 14100000 | (203514) | 233616 | 30102 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 2400000 | (34641) | 37555 | 2914 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 100000 | (1443) | 1258 | (185) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 2450000 | (35362) | 36042 | 680 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 1800000 | (25980) | 47853 | 21873 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 14200000 | (204957) | 238529 | 33572 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 32000000 | (461875) | 537918 | 76043 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 6400000 | (92375) | 82063 | (10312) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 1800000 | (25980) | 20115 | (5865) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 16000000 | (230938) | 180624 | (50314) |
| CMBX AAA Series 17 Index | NR | 12/2056 | JPMorgan Securities LLC | 0.5% | Monthly | 3500000 | (50518) | 38192 | (12326) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 4600000 | (66395) | 34986 | (31409) |
| CMBX AAA Series 19 Index | NR | 12/2058 | Goldman Sachs & Co LLC | 0.5% | Monthly | 37300000 | (72205) | 40280 | (31925) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 8500000 | (122686) | 127693 | 5007 |
| CMBX AAA Series 16 Index | NR | 4/2065 | Citigroup Global Markets Ltd | 0.5% | Monthly | 6540651 | (48421) | 54242 | 5821 |
| CMBX AAA Series 16 Index | NR | 4/2065 | Citigroup Global Markets Ltd | 0.5% | Monthly | 28059891 | (209200) | 211538 | 2338 |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  | (1661542) | 3222394 | 1560852 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  | **561282** | **480027** | **1041309** |

---

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

(2)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(3)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **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** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(1) | Maturity<br> Date | Notional<br> Amount(3) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| U.S. SOFR Index(4) | Annual | 3% | Annual | LCH | 6/2028 | 1424792000 | 4129311 | 0 | 4129311 |
| U.S. SOFR Index(4) | Annual | 3.25% | Annual | LCH | 6/2029 | 231325000 | 1265503 | 0 | 1265503 |
| 3.75% | Annual | U.S. SOFR Index(4) | Annual | LCH | 6/2036 | 32260000 | (133271) | 0 | (133271) |
| 3.5% | Annual | U.S. SOFR Index(4) | Annual | LCH | 6/2033 | 11890000 | (9782) | 0 | (9782) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **5251761** | **0** | **5251761** |

---

(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.

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

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

(4)Represents floating rate.

**Legend**

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

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

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

(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 $19,692,249.

(e) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $26,324,203.

(f) 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 $18,695,290.

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

(h) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $2,303,578.

(i) 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 $6,862,153,308 or 15.9% of net assets.

(j) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(k) Level 3 security.

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

(m) Principal Only Strips represent the right to receive the monthly principal payments.

(n) 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.

(o) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(p) 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 ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 517949578 | 5516855135 | 4885942641 | 15486731 | 9417 | - | 1148871489 | 1148641761 | 1.8% |
| Fidelity Securities Lending Cash Central Fund | - | 2881710209 | 2881746450 | 241348 | 36241 | - | - | - | 0.0% |
| Total | 517949578 | 8398565344 | 7767689091 | 15728079 | 45658 | - | 1148871489 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium income received for lending certain types of securities.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of March 31, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 3989544716 | - | 3989544716 | - |
|  **Bank Notes** |  |  |  |  |
| Financials | 56766645 | - | 56766645 | - |
|  **Collateralized Mortgage Obligations** | 652942835 | - | 652942835 | - |
|  **Commercial Mortgage Securities** | 2283991638 | - | 2280466808 | 3524830 |
|  **Foreign Government and Government Agency Obligations** | 8720879 | - | 8720879 | - |
|  **Municipal Securities** |  |  |  |  |
| General Obligations | 25221210 | - | 25221210 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 683741860 | - | 683741860 | - |
| Consumer Discretionary | 169690450 | - | 169690450 | - |
| Consumer Staples | 175614555 | - | 175614555 | - |
| Energy | 1065943354 | - | 1065943354 | - |
| Financials | 4061818861 | - | 4061818861 | - |
| Health Care | 596373581 | - | 596373581 | - |
| Industrials | 356317907 | - | 356317907 | - |
| Information Technology | 513610506 | - | 513610506 | - |
| Materials | 107314830 | - | 107314830 | - |
| Real Estate | 1033113277 | - | 1033113277 | - |
| Utilities | 492458031 | - | 492458031 | - |
|  **U.S. Government Agency - Mortgage Securities** | 8313235276 | - | 8313235276 | - |
|  **U.S. Treasury Obligations** | 21641543557 | - | 21641543557 | - |
|  **Money Market Funds** | 1148871489 | 1148871489 | - | - |
|  **Purchased Swaptions** | 16072508 | 2175160 | 13897348 | - |
| **Total Investments in Securities:** | 47392907965 | 1151046649 | 46238336486 | 3524830 |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 425911 | 425911 | - | - |
| Swaps | 8107053 | - | 8107053 | - |
| Total Assets | 8532964 | 425911 | 8107053 | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (11232819) | (11232819) | - | - |
| Swaps | (2294010) | - | (2294010) | - |
| Written Swaptions | (4507948) | - | (4507948) | - |
| Total Liabilities | (18034777) | (11232819) | (6801958) | - |
| **Total Derivative Instruments:** | (9501813) | (10806908) | 1305095 | - |
| **<u>Other Financial Instruments:</u>** |  |  |  |  |
|  **TBA Sale Commitments** | (1985672104) | - | (1985672104) | - |
| **Total Other Financial Instruments:** | (1985672104) | - | (1985672104) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of March 31, 2026. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Credit Risk** |  |  |
| Swaps (a)  | 2712239 | (2150957) |
| **Total Credit Risk**  | 2712239 | (2150957) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (b)  | 425911 | (11232819) |
| Purchased Swaptions (c)  | 16072508 | - |
| Swaps (d)  | 5394814 | (143053) |
| Written Swaptions (e)  | - | (4507948) |
| **Total Interest Rate Risk**  | 21893233 | (15883820) |
| **Total Value of Derivatives** | 24605472 | (18034777) |

---

(a)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-item(s).

(b)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

(c)Gross value is included in the Statement of Assets and Liabilities in the investments in securities, at value line-item.

(d)For centrally cleared swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in Total accumulated earnings (loss).

(e)Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of March 31, 2026 (Unaudited)** | <br> **As of March 31, 2026 (Unaudited)** | <br> **As of March 31, 2026 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $47,778,114,830) | $46244036476 |  |
| Fidelity Central Funds (cost $1,148,870,900) | 1148871489 |  |
| Total Investment in Securities (cost $48,926,985,730) |  | $47392907965 |
| Cash |  | 3533535 |
| Receivable for investments sold |  | 1483395 |
| Receivable for premium on written options |  | 4715592 |
| Receivable for TBA sale commitments |  | 1990466457 |
| Receivable for swaps |  | 393473 |
| Receivable for fund shares sold |  | 4450396 |
| Interest receivable |  | 358269271 |
| Distributions receivable from Fidelity Central Funds |  | 2697034 |
| Receivable for variation margin on futures contracts |  | 1265036 |
| Bi-lateral OTC swaps, at value |  | 2712239 |
| Other receivables |  | 219457 |
| **Total assets** |  | 49763113850 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $206356449 |  |
| Delayed delivery | 4382659952 |  |
| TBA sale commitments, at value | 1985672104 |  |
| Payable for fund shares redeemed | 3350715 |  |
| Bi-lateral OTC swaps, at value | 2150957 |  |
| Payable for daily variation margin on centrally cleared swaps | 388968 |  |
| Written options, at value (premium receivable $4,715,592) | 4507948 |  |
| Other payables and accrued expenses | 202432 |  |
| **Total liabilities** |  | 6585289525 |
| **Net Assets**  |  | $43177824325 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $47212166904 |
| Total accumulated earnings (loss) |  | (4034342579) |
| **Net Assets** |  | $43177824325 |
| **Net Asset Value**, offering price and redemption price per share ($43,177,824,325 ÷ 437,615,121 shares) |  | $98.67 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| **Six months ended March 31, 2026 (Unaudited)** | **Six months ended March 31, 2026 (Unaudited)** | **Six months ended March 31, 2026 (Unaudited)** |
| **Investment Income** |  |  |
| Interest  |  | $916463251 |
| Income from Fidelity Central Funds (including $241,348 from security lending)  |  | 15728079 |
| **Total income** |  | 932191330 |
| **Expenses** |  |  |
| Custodian fees and expenses | $7294 |  |
| Independent trustees' fees and expenses | 50357 |  |
| Total expenses before reductions | 57651 |  |
| Expense reductions | (8737) |  |
| Total expenses after reductions |  | 48914 |
| **Net Investment income (loss)** |  | 932142416 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (338349145) |  |
| Fidelity Central Funds | 45658 |  |
| Futures contracts | 345692 |  |
| Swaps | 16947639 |  |
| Total net realized gain (loss) |  | (321010156) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (128039738) |  |
| Futures contracts | (14465124) |  |
| Swaps | (1027635) |  |
| Written options | 207644 |  |
| TBA sale commitments | (2066351) |  |
| Total change in net unrealized appreciation (depreciation) |  | (145391204) |
| **Net gain (loss)** |  | (466401360) |
| **Net increase (decrease) in net assets resulting from operations** |  | $465741056 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **March 31, 2026**<br> **(Unaudited)** | **Year ended**<br> **September 30, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $932142416 | $1778058829 |
| &nbsp;&nbsp;Net realized gain (loss) | (321010156)<br>| (392877005)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | (145391204) | (3152771)<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 465741056<br>| 1382029053<br>|
| Distributions to shareholders | (926417080)<br>| (1795789335)<br>|
|  Affiliated share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 1935310393 | 3385547343 |
| Reinvestment of distributions | 926417080<br>| 1785901814<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (1291762669) | (3692455755) |
| **Net increase (decrease) in net assets resulting from share transactions** | 1569964804<br>| 1478993402<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 1109288780<br>| 1065233120<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 42068535545 | 41003302425<br>|
| &nbsp;&nbsp;End of period | $43177824325 | $42068535545 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 19391106 | 34570929 |
| Issued in reinvestment of distributions | 9285695<br>| 18165882<br>|
| &nbsp;&nbsp;Redeemed | (12941437) | (37615951) |
| &nbsp;&nbsp;Net increase (decrease) | 15735364 | 15120860 |

---

**Financial Highlights** 

**Fidelity® Investment Grade Bond Central Fund** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **March 31, 2026**<br> **(Unaudited)**  | **Years ended September 30, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $99.72 | $100.80 | $93.61 | $95.82 | $114.50 | $118.41 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | 2.149  | 4.302  | 4.155  | 3.682  | 2.699  | 2.569  |
| Net realized and unrealized gain (loss)  | (1.062)  | (1.037)  | 7.187  | (2.239)  | (18.662)  | (1.197)  |
| Total from investment operations  | 1.087  | 3.265  | 11.342  | 1.443  | (15.963)  | 1.372  |
| Distributions from net investment income  | (2.137)  | (4.345)  | (4.152)  | (3.653)  | (2.717)  | (2.615)  |
| Distributions from net realized gain  | -  | -  | -  | -  | -  | (2.667)  |
| Total distributions  | (2.137)  | (4.345)  | (4.152)  | (3.653)  | (2.717)  | (5.282)  |
| Net asset value, end of period  | $98.67 | $99.72 | $100.80 | $93.61 | $95.82 | $114.50 |
| **Total Return** C,D | 1.08% <br>| 3.39%  | 12.37%  | 1.43%  | (14.14)%  | 1.18%  |
| **Ratios to Average Net Assets** B,E,F |  |  |  |  |  |  |
| Expenses before reductions G | -% H | -%  | -%  | -%  | -%  | -%  |
| Expenses net of fee waivers, if any G | -% H<br>| -%  | -%  | -%  | -%  | -%  |
| Expenses net of all reductions, if any G | -% H | -%  | -%  | -%  | -%  | -%  |
| Net investment income (loss)  | 4.32% H | 4.39%  | 4.28%  | 3.79%  | 2.53%  | 2.22%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $43177824 | $42068536 | $41003302 | $36994739 | $31934099 | $32962327 |
| Portfolio turnover rate I | 142% H<br>| 175%  | 206%  | 174%  | 181%  | 245%  |

---

A*Calculated based on average shares outstanding during the period.*

B*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

C*Total returns for periods of less than one year are not annualized.*

D*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

E*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

F*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

G*Amount represents less than .005%.*

H*Annualized.*

I*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

**Notes to Financial Statements** **(Unaudited)**

For the period ended March 31, 2026

**1. Organization.**

Fidelity Investment Grade Bond Central Fund (the Fund) is a fund of Fidelity Central Investment Portfolios II LLC (the LLC) and is authorized to issue an unlimited number of shares. Shares of the Fund are only offered to other investment companies and accounts managed by Fidelity Management & Research Company LLC (FMR), or its affiliates (the Investing Funds). The LLC is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware Limited Liability Company.

**2. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**3. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Directors (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 Fund categorizes the inputs to valuation techniques used to value its investments 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 the Fund's 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. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities and U.S. government and government agency 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. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency 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. 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, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities and 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. Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central 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. The aggregate value of investments by input level as of March 31, 2026 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to futures contracts, swaps, capital loss carryforwards, losses deferred due to wash sales and futures contracts.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

---

| | |
|:---|:---|
| **Gross unrealized appreciation** | $242917728 |
| **Gross unrealized depreciation** | <u>(1778535940)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$(1535618212)</u> |
| **Tax cost** | <u>$48929006486</u> |

---

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term | $(708369878) |
| Long-term | <u>(1419939467)</u> |
| **Total capital loss carryforward** | <u>$(2128309345)</u> |

---

**To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls.** TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The value of these commitments and proceeds to be received at contractual settlement date are reflected in the Statement of Assets and Liabilities as "TBA sale commitments, at value" and "Receivable for TBA sale commitments," respectively. A fund realizes a gain or loss on settlement, either through the acquisition of an offsetting TBA purchase commitment on or before the sale commitment date, or by delivery of the securities under the commitment.

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**4. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, swaps and options. 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.

Derivatives were used to increase returns, to gain exposure to certain types of assets and 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 objectives may not be achieved.

Derivatives were used to increase or decrease 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 a fund.<br>|
| 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. |

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options and bi-lateral swaps, a 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 a 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 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, a fund receives collateral in the form of cash or securities once 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 custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund 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 a fund. For OTC written options with upfront premiums received, a fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. A 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 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 and amounts recognized in the Statement of Assets and Liabilities. 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.

**Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives.** The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity Investment Grade Bond Central Fund** |  |  |
| **Credit Risk** |  |  |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp; <u>(56291)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>347739</u> |
| **Total Credit Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>(56291)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>347739</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | 345692 | (14465124) |
| Purchased Options | (4618033) | 816439 |
| Written Options | - | 207644 |
| Swaps | <u>17003930</u> | <u>(1375374)</u> |
| **Total Interest Rate Risk** | <u>12731589</u> | <u>(14816415)</u> |
| Totals | <u>12675298</u> | <u>(14468676)</u> |

---

If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.

**Futures Contracts.** A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily. Subsequent payments from or to a fund are made or as needed depending on the fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period.

Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.

**Options.** Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. OTC options, such as swaptions, which are options where the underlying instrument is a swap, were used to manage exposure to fluctuations in interest rates.

Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.

Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period.

Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

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

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in total accumulated earnings (loss) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.

Centrally cleared swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities. Centrally cleared swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in total accumulated earnings (loss) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

For both bi-lateral and centrally cleared swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period.

**Credit Default Swaps.** Credit default swaps enable a 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. A 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.

As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where a 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, the investment adviser 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. A fund enters 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.

**5. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Investment Grade Bond Central Fund** | 17655391119 | 17620450077 |

---

**6. Fees and Other Transactions with Affiliates.**

**Management Fee and Expense Contract.** Fidelity Management & Research Company LLC (the investment adviser) provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's expense contract, the investment adviser also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Directors, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

**Deferred Director Compensation.** Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Directors have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Directors presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.

---

| | |
|:---|:---|
| **Fidelity Investment Grade Bond Central Fund** | $198470 |

---

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**7. Security Lending.** 

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, the borrowers provide collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the fair value of the loaned securities during the period of the loan. The fair value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned or gaining access to non-cash collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral less rebates paid to borrowers, plus any premium income received, or for non-cash collateral, fees received from borrowers as compensation for the securities loaned. Securities lending income is reduced by any lending agent fees associated with the loan. Any security lending income earned on investing cash collateral is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Any security lending income earned on non-cash collateral is presented in the Statement of Operations in security lending. Affiliated security lending activity, if any, was as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** | **Security Lending Income From Securities Loaned to NFS ($)** | **Value of Securities Loaned to NFS at Period End ($)** |
| **Fidelity Investment Grade Bond Central Fund** | 25205 | - | - |

---

**8. Expense Reductions.** 

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $8,737.

**9. Other.**

A fund's organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

At the end of the period, mutual funds managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.

**10. Credit Risk.** 

The Fund invests a significant portion of its assets in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

**11. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

![](img129567_4.jpg)<br>

1.807412.121 TP1-SANN-0526

**Fidelity® Inflation-Protected Bond Index Central Fund**

**Semi-Annual Report**

**March 31, 2026**

![](img129569_1.jpg)

![](img129569_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_IPB-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Inflation-Protected Bond Index Central Fund](#Sub_Sec_Fund_2398_IPB-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements2398_IPB-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_IPB-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_IPB-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_IPB-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_IPB-SANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

"BLOOMBERG®" and the Bloomberg indices listed herein (the "Indices") are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited ("BISL"), the administrator of the Indices (collectively, "Bloomberg") and have been licensed for use for certain purposes by Fidelity. Bloomberg is not affiliated with Fidelity, and Bloomberg does not approve, endorse, review, or recommend the fund. Bloomberg does not guarantee the timeliness, accuracy, or completeness of any data or information relating to the fund.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2026 FMR LLC. All rights reserved.

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

**Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)**

**Fidelity® Inflation-Protected Bond Index Central Fund**

**Schedule of Investments March 31, 2026 (Unaudited)**

Showing Percentage of Net Assets

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 99.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 99.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 99.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 99.5%** |
|  | Yield (%) (a) | Principal<br> Amount (b)<br>| Value ($)<br>|
| US Treasury Bonds Inflation-Indexed 1.75% 1/15/2028  | 0.18 to 2.33 | 8711302 | 8837583 |
| US Treasury Bonds Inflation-Indexed 2.5% 1/15/2029  | -1.18 to 2.24 | 13116177 | 13608025 |
| US Treasury Bonds Inflation-Indexed 3.375% 4/15/2032  | -0.09 to 2.28 | 4324488 | 4772658 |
| US Treasury Bonds Inflation-Indexed 3.625% 4/15/2028  | -1.65 to 1.75 | 5268715 | 5541194 |
| US Treasury Bonds Inflation-Indexed 3.875% 4/15/2029  | -1.10 to 1.87 | 7953570 | 8581660 |
| US Treasury Notes Inflation-Indexed 0.125% 1/15/2030  | -1.03 to 2.23 | 23995401 | 22970620 |
| US Treasury Notes Inflation-Indexed 0.125% 1/15/2031  | -1.19 to 2.51 | 32137103 | 30220224 |
| US Treasury Notes Inflation-Indexed 0.125% 1/15/2032  | -0.73 to 2.17 | 33698325 | 31019562 |
| US Treasury Notes Inflation-Indexed 0.125% 4/15/2027  | -0.44 to 2.44 | 24421552 | 24282571 |
| US Treasury Notes Inflation-Indexed 0.125% 7/15/2030  | -1.14 to 2.17 | 30823957 | 29346898 |
| US Treasury Notes Inflation-Indexed 0.125% 7/15/2031  | -1.17 to 2.15 | 23267011 | 21743541 |
| US Treasury Notes Inflation-Indexed 0.25% 7/15/2029  | -1.29 to 1.95 | 21536073 | 20949328 |
| US Treasury Notes Inflation-Indexed 0.375% 7/15/2027  | -1.53 to 1.87 | 26893096 | 26889417 |
| US Treasury Notes Inflation-Indexed 0.5% 1/15/2028  | -1.66 to 2.07 | 28561978 | 28345048 |
| US Treasury Notes Inflation-Indexed 0.625% 7/15/2032  | 0.09 to 2.22 | 32777203 | 30932508 |
| US Treasury Notes Inflation-Indexed 0.75% 7/15/2028  | -1.63 to 1.83 | 26023642 | 25951785 |
| US Treasury Notes Inflation-Indexed 0.875% 1/15/2029  | -1.03 to 1.80 | 20352138 | 20205667 |
| US Treasury Notes Inflation-Indexed 1.125% 1/15/2033  | 1.15 to 2.52 | 30398496 | 29284699 |
| US Treasury Notes Inflation-Indexed 1.125% 10/15/2030  | 1.21 to 1.44 | 30869464 | 30598863 |
| US Treasury Notes Inflation-Indexed 1.25% 4/15/2028  | 1.33 to 1.97 | 22706498 | 22798685 |
| US Treasury Notes Inflation-Indexed 1.375% 7/15/2033  | 1.57 to 2.23 | 33905960 | 33152068 |
| US Treasury Notes Inflation-Indexed 1.625% 10/15/2027  | 0.70 to 2.28 | 30589723 | 31070575 |
| US Treasury Notes Inflation-Indexed 1.625% 10/15/2029  | 0.99 to 1.99 | 28565747 | 29022897 |
| US Treasury Notes Inflation-Indexed 1.625% 4/15/2030  | 1.33 to 1.60 | 29773795 | 30077997 |
| US Treasury Notes Inflation-Indexed 1.75% 1/15/2034  | 1.68 to 2.13 | 30960299 | 30837597 |
| US Treasury Notes Inflation-Indexed 1.875% 1/15/2036  | 1.92 to 2.01 | 24524010 | 24233625 |
| US Treasury Notes Inflation-Indexed 1.875% 7/15/2034  | 1.60 to 2.25 | 36217057 | 36404654 |
| US Treasury Notes Inflation-Indexed 1.875% 7/15/2035  | 1.72 to 1.97 | 38633532 | 38452137 |
| US Treasury Notes Inflation-Indexed 2.125% 1/15/2035  | 1.77 to 2.12 | 35268159 | 35870620 |
| US Treasury Notes Inflation-Indexed 2.125% 4/15/2029  | 1.02 to 2.29 | 28984924 | 29761763 |
| US Treasury Notes Inflation-Indexed 2.375% 10/15/2028  | 1.25 to 2.43 | 27736828 | 28720041 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $777,041,590) |  |  | **784484510** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 0.0%** | &nbsp;&nbsp;**Money Market Funds - 0.0%** | &nbsp;&nbsp;**Money Market Funds - 0.0%** | &nbsp;&nbsp;**Money Market Funds - 0.0%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (c)<br>(Cost $157,035)<br>| 3.69 | 157003 | **157035** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.5%**<br> (Cost $777,198,625)<br>| <br>**784641545** |
| **NET OTHER ASSETS (LIABILITIES) - 0.5%**  | **3884631** |
| **NET ASSETS - 100.0%** | **788526176** |

---

**Legend**

(a) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

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

(c) 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 ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 1993619 | 33456215 | 35292422 | 47390 | (377) | - | 157035 | 157003 | 0.0% |
| Total | 1993619 | 33456215 | 35292422 | 47390 | (377) | - | 157035 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of March 31, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **U.S. Treasury Obligations** | 784484510 | - | 784484510 | - |
|  **Money Market Funds** | 157035 | 157035 | - | - |
| **Total Investments in Securities:** | 784641545 | 157035 | 784484510 | - |

---

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of March 31, 2026 (Unaudited)** | <br> **As of March 31, 2026 (Unaudited)** | <br> **As of March 31, 2026 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $777,041,590) | $784484510 |  |
| Fidelity Central Funds (cost $157,035) | 157035 |  |
| Total Investment in Securities (cost $777,198,625) |  | $784641545 |
| Receivable for investments sold |  | 12871943 |
| Receivable for fund shares sold |  | 253470 |
| Interest receivable |  | 3006826 |
| Distributions receivable from Fidelity Central Funds |  | 353 |
| **Total assets** |  | 800774137 |
| **Liabilities** |  |  |
| Payable for investments purchased  | $12165367 |  |
| Payable for fund shares redeemed | 82566 |  |
| Other payables and accrued expenses | 28 |  |
| **Total liabilities** |  | 12247961 |
| **Net Assets**  |  | $788526176 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $820683234 |
| Total accumulated earnings (loss) |  | (32157058) |
| **Net Assets** |  | $788526176 |
| **Net Asset Value**, offering price and redemption price per share ($788,526,176 ÷ 8,759,308 shares) |  | $90.02 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| **Six months ended March 31, 2026 (Unaudited)** | **Six months ended March 31, 2026 (Unaudited)** | **Six months ended March 31, 2026 (Unaudited)** |
| **Investment Income** |  |  |
| Interest  |  | $11428372 |
| Income from Fidelity Central Funds  |  | 47390 |
| **Total income** |  | 11475762 |
| **Expenses** |  |  |
| Custodian fees and expenses | $302 |  |
| Independent trustees' fees and expenses | 896 |  |
| Total expenses before reductions | 1198 |  |
| Expense reductions | (212) |  |
| Total expenses after reductions |  | 986 |
| **Net Investment income (loss)** |  | 11474776 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (52415) |  |
| Fidelity Central Funds | (377) |  |
| Total net realized gain (loss) |  | (52792) |
| Change in net unrealized appreciation (depreciation) on investment securities  |  | (4107250) |
| **Net gain (loss)** |  | (4160042) |
| **Net increase (decrease) in net assets resulting from operations** |  | $7314734 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **March 31, 2026**<br> **(Unaudited)** | **Year ended**<br> **September 30, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $11474776 | $30795097 |
| &nbsp;&nbsp;Net realized gain (loss) | (52792)<br>| (3486439)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | (4107250) | 12015755<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 7314734<br>| 39324413<br>|
| Distributions to shareholders | (25072686)<br>| (23438941)<br>|
|  Affiliated share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 59994215 | 534027025 |
| Reinvestment of distributions | 25072686<br>| 23438941<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (26818557) | (267772462) |
| **Net increase (decrease) in net assets resulting from share transactions** | 58248344<br>| 289693504<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 40490392<br>| 305578976<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 748035784 | 442456808<br>|
| &nbsp;&nbsp;End of period | $788526176 | $748035784 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 666487 | 5949672 |
| Issued in reinvestment of distributions | 278696<br>| 262101<br>|
| &nbsp;&nbsp;Redeemed | (296378) | (2949113) |
| &nbsp;&nbsp;Net increase (decrease) | 648805 | 3262660 |

---

**Financial Highlights** 

**Fidelity® Inflation-Protected Bond Index Central Fund** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **March 31, 2026**<br> **(Unaudited)**  | **Years ended September 30, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $92.23 | $91.27 | $88.00 | $96.61 | $113.48 | $108.93 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | 1.343  | 4.098  | 3.663  | 3.381  | 7.596  | 5.098  |
| Net realized and unrealized gain (loss)  | (.500)  | .558  | 4.042  | (1.285)  | (15.349)  | 1.090  |
| Total from investment operations  | .843  | 4.656  | 7.705  | 2.096  | (7.753)  | 6.188  |
| Distributions from net investment income  | (3.053)  | (3.696)  | (4.435)  | (8.189)  | (7.113)  | (.222)  |
| Distributions from net realized gain  | -  | -  | -  | (2.517)  | (2.004)  | (1.416)  |
| Total distributions  | (3.053)  | (3.696)  | (4.435)  | (10.706)  | (9.117)  | (1.638)  |
| Net asset value, end of period  | $90.02 | $92.23 | $91.27 | $88.00 | $96.61 | $113.48 |
| **Total Return** C,D | .94% <br>| 5.29%  | 9.01%  | 2.15%  | (7.47)%  | 5.74%  |
| **Ratios to Average Net Assets** B,E,F |  |  |  |  |  |  |
| Expenses before reductions G | -% H | -%  | -%  | -%  | -%  | -%  |
| Expenses net of fee waivers, if any G | -% H<br>| -%  | -%  | -%  | -%  | -%  |
| Expenses net of all reductions, if any G | -% H | -%  | -%  | -%  | -%  | -%  |
| Net investment income (loss)  | 2.98% H | 4.55%  | 4.13%  | 3.71%  | 7.12%  | 4.60%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $788526 | $748036 | $442457 | $423704 | $614245 | $1177340 |
| Portfolio turnover rate I | 25% H<br>| 56%  | 63%  | 33%  | 33%  | 24%  |

---

A*Calculated based on average shares outstanding during the period.*

B*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

C*Total returns for periods of less than one year are not annualized.*

D*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

E*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

F*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

G*Amount represents less than .005%.*

H*Annualized.*

I*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

**Notes to Financial Statements** **(Unaudited)**

For the period ended March 31, 2026

**1. Organization.**

Fidelity Inflation-Protected Bond Index Central Fund (the Fund) is a fund of Fidelity Central Investment Portfolios II LLC (the LLC) and is authorized to issue an unlimited number of shares. Shares of the Fund are only offered to other investment companies and accounts managed by Fidelity Management & Research Company LLC (FMR), or its affiliates (the Investing Funds). The LLC is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware Limited Liability Company.

**2. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**3. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Directors (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 Fund categorizes the inputs to valuation techniques used to value its investments 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 the Fund's 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. government and government agency 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. 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.

Investments in open-end mutual funds, including the Fidelity Central 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. The aggregate value of investments by input level as of March 31, 2026 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. For Treasury Inflation-Protected Securities (TIPS) the principal amount is adjusted daily to keep pace with inflation. Interest is accrued based on the adjusted principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Such adjustments may result in negative Interest and may have a significant impact on the Fund's distributions.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to capital loss carryforwards and losses deferred due to wash sales.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

---

| | |
|:---|:---|
| **Gross unrealized appreciation** | $9015739 |
| **Gross unrealized depreciation** | <u>(2007739)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$7008000</u> |
| **Tax cost** | <u>$777633545</u> |

---

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term | $(6622757) |
| Long-term | <u>(34894060)</u> |
| **Total capital loss carryforward** | <u>$(41516817)</u> |

---

**4. Fees and Other Transactions with Affiliates.**

**Management Fee and Expense Contract.** Fidelity Management & Research Company LLC (the investment adviser) provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's expense contract, the investment adviser also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Directors, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**5. Expense Reductions.** 

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $212.

**6. Other.**

A fund's organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

At the end of the period, mutual funds managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.

**7. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

![](img129569_4.jpg)<br>

1.938136.114 IPB-SANN-0526

Item 8.

<u>Changes in and Disagreements with Accountants for Open-End Management Investment Companies</u>

See Item 7.

Item 9.

<u>Proxy Disclosures for Open-End Management Investment Companies</u>

See Item 7.

Item 10.

<u>Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies</u>

See Item 7.

Item 11.

<u>Statement Regarding Basis for Approval of Investment Advisory Contract</u>

See Item 7.

Item 12.

<u>Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies</u>

Not applicable.

Item 13.

<u>Portfolio Managers of Closed-End Management Investment Companies</u>

Not applicable.

Item 14.

<u>Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers</u>

Not applicable.

Item 15.

<u>Submission of Matters to a Vote of Security Holders</u>

There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Central Investment Portfolios II LLC's Board of Trustees.

Item 16.

<u>Controls and Procedures</u>

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Central Investment Portfolios II LLC's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 17.

<u>Disclosure of Securities Lending Activities for Closed-End Management Investment Companies</u>

Not applicable.

Item 18.

<u>Recovery of Erroneously Awarded Compensation</u>

(a) Not applicable.

(b) Not applicable.

Item 19.

<u>Exhibits</u>

(a) (1) Not applicable.

(a) (2) [Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT](ex99cert.htm) .

(a) (3) Not applicable.

(b) [Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.](ex99906cert.htm)

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Central Investment Portfolios II LLC

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Laura M. Del Prato</u> |
|  | &nbsp;&nbsp; Laura M. Del Prato |
|  | &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; May 21, 2026 |

---

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Laura M. Del Prato</u> |
|  | &nbsp;&nbsp; Laura M. Del Prato |
|  | &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; May 21, 2026 |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Stephanie Caron</u> |
|  | &nbsp;&nbsp; Stephanie Caron |
|  | &nbsp;&nbsp; Chief Financial Officer (Principal Financial Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; May 21, 2026 |

---

## Ex-99.Cert

<u>Exhibit EX-99.CERT</u>

I, Laura M. Del Prato, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Central Investment Portfolios II LLC;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:

May 21, 2026

---

| |
|:---|
| &nbsp;&nbsp; <u>/s/Laura M. Del Prato</u> |
| &nbsp;&nbsp; Laura M. Del Prato |
| &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |

---

I, Stephanie Caron, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Central Investment Portfolios II LLC;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:

May 21, 2026

---

| |
|:---|
| &nbsp;&nbsp; <u>/s/Stephanie Caron</u> |
| &nbsp;&nbsp; Stephanie Caron |
| &nbsp;&nbsp; Chief Financial Officer (Principal Financial Officer) |

---

## Exhibit 99.906

<u>Exhibit EX-99.906CERT</u>

**Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)**

In connection with the attached Report of Fidelity Central Investment Portfolios II LLC (the "Trust") on Form N-CSR to be filed with the Securities and Exchange Commission (the "Report"), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer's knowledge:

&nbsp;&nbsp;&nbsp;&nbsp;1. The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.

Dated: May 21, 2026

---

| |
|:---|
| &nbsp;&nbsp; <u>/s/Laura M. Del Prato</u> |
| &nbsp;&nbsp; Laura M. Del Prato |
| &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |

---

Dated: May 21, 2026

---

| |
|:---|
| &nbsp;&nbsp; <u>/s/Stephanie Caron</u> |
| &nbsp;&nbsp; Stephanie Caron |
| &nbsp;&nbsp; Chief Financial Officer (Principal Financial Officer) |

---

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.

<br>