# EDGAR Filing Document

**Accession Number:** 0000795422
**File Stem:** 0001752724-25-176739
**Filing Date:** 2025-7
**Character Count:** 679959
**Document Hash:** 5b54ffdddaad1e29928616ae23e110a2
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-176739.hdr.sgml**: 20250724

**ACCESSION NUMBER**: 0001752724-25-176739

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250724

**DATE AS OF CHANGE**: 20250724

**PERIOD START**: 20250831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY ADVISOR SERIES II
- **CENTRAL INDEX KEY:** 0000795422

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04707
- **FILM NUMBER:** 251146322

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY DIVERSIFIED TRUST
- **DATE OF NAME CHANGE:** 19930706

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

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

## Series and Classes Contracts Data

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

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

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity® Series Investment Grade Securitized Fund**

**May 31, 2025**

IGS-NPRT3-0725

1.9891240.106 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 6.8%** | &nbsp;&nbsp;**Asset-Backed Securities - 6.8%** | &nbsp;&nbsp;**Asset-Backed Securities - 6.8%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.0%  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (b) | 92355 | 93472 |
| Chesapeake Funding II LLC Series 2024-1A Class A1, 5.52% 5/15/2036 (b) | 205216 | 207082 |
| TOTAL CANADA |  | 300554 |
| UNITED STATES - 6.8%  |  |  |
| Achv Abs Trust Series 2024-3AL Class A, 5.01% 12/26/2031 (b) | 58308 | 58233 |
| Affirm Asset Securitization Trust Series 2024-A Class 1A, 5.61% 2/15/2029 (b) | 400000 | 401651 |
| Affirm Asset Securitization Trust Series 2024-X1 Class A, 6.27% 5/15/2029 (b) | 24027 | 24053 |
| Affirm Asset Securitization Trust Series 2025-X1 Class A, 5.08% 4/15/2030 (b) | 720000 | 719846 |
| Ally Auto Receivables Trust Series 2024-1 Class A3, 5.08% 12/15/2028  | 255000 | 256370 |
| American Express Credit Account Master Trust Series 2023-1 Class A, 4.87% 5/15/2028  | 679000 | 681885 |
| Amur Equip Fin Receivables Xv LLC Series 2025-1A Class A2, 4.7% 9/22/2031 (b) | 780000 | 781629 |
| Ari Fleet Lease Trust 2024-B Series 2024-B Class A2, 5.54% 4/15/2033 (b) | 95445 | 95943 |
| Ari Fleet Lease Trust Series 2025-A Class A2, 4.38% 1/17/2034 (b) | 160000 | 159248 |
| Autonation Finance Trust Series 2025-1A Class A2, 4.72% 4/10/2028 (b) | 315000 | 315070 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-1A Class A, 4.8% 8/20/2029 (b) | 205000 | 205216 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-2A Class A, 5.12% 8/20/2031 (b) | 595000 | 596714 |
| Bankers Healthcare Group Securitization Trust Series 2025-1CON Class A, 4.82% 4/17/2036 (b) | 837760 | 835961 |
| BMW Vehicle Owner Trust Series 2025-A Class A3, 4.56% 9/25/2029  | 200000 | 201036 |
| BofA Auto Trust Series 2024-1A Class A3, 5.35% 11/15/2028 (b) | 98000 | 98961 |
| BofA Auto Trust Series 2025-1A Class A2A, 4.52% 11/22/2027 (b) | 660000 | 659509 |
| BofA Auto Trust Series 2025-1A Class A3, 4.35% 11/20/2029 (b) | 500000 | 499706 |
| CarMax Auto Owner Trust Series 2023-4 Class A3, 6% 7/17/2028  | 234000 | 237311 |
| CarMax Auto Owner Trust Series 2024-2 Class A3, 5.5% 1/16/2029  | 187000 | 189453 |
| Carmax Auto Owner Trust Series 2024-4 Class A3, 4.6% 10/15/2029  | 300000 | 301868 |
| Carmax Auto Owner Trust Series 2025-2 Class A2A, 4.59% 7/17/2028  | 1010000 | 1010442 |
| CarMax Select Receivables Trust Series 2024-A Class A2A, 5.78% 9/15/2027  | 49132 | 49308 |
| CarMax Select Receivables Trust Series 2024-A Class A3, 5.4% 11/15/2028  | 67000 | 67655 |
| Ccg Receivables Trust. Series 2025-1 Class A2, 4.48% 10/14/2032 (b) | 145000 | 144988 |
| CFMT LLC Series 2023-HB12 Class A, 4.25% 4/25/2033 (b) | 73659 | 72892 |
| Chase Auto Owner Trust Series 2024-1A Class A3, 5.13% 5/25/2029 (b) | 239000 | 240689 |
| Citizens Auto Receivables Trust Series 2024-2 Class A3, 5.33% 8/15/2028 (b) | 304000 | 305955 |
| Dell Equip Fin Trust Series 2025-1 Class A2, 4.68% 7/22/2027 (b) | 250000 | 250479 |
| Dell Equip Fin Trust Series 2025-1 Class A3, 4.61% 2/24/2031 (b) | 400000 | 401953 |
| DLLAA LLC Series 2025-1A Class A3, 4.95% 9/20/2029 (b) | 1450000 | 1465029 |
| DLLAA Series 2023-1A Class A2, 5.93% 7/20/2026 (b) | 17337 | 17364 |
| DLLAA Series 2023-1A Class A3, 5.64% 2/22/2028 (b) | 102000 | 103153 |
| DLLAD Series 2023-1A Class A3, 4.79% 1/20/2028 (b) | 466148 | 466841 |
| DLLAD Series 2024-1A Class A3, 5.3% 7/20/2029 (b) | 82000 | 83143 |
| Enterprise Fleet Financing LLC Series 2023-3 Class A2, 6.4% 3/20/2030 (b) | 243466 | 247015 |
| Enterprise Fleet Financing LLC Series 2024-4 Class A3, 4.56% 11/20/2028 (b) | 361000 | 361498 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (b) | 191413 | 192247 |
| Enterprise Fleet Financing Series 2024-2 Class A3, 5.61% 4/20/2028 (b) | 171000 | 173603 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A2, 4.83% 10/16/2028  | 80000 | 79932 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A3, 4.69% 4/15/2030  | 70000 | 69901 |
| Ford Credit Auto Owner Trust Series 2020-2 Class A, 1.06% 4/15/2033 (b) | 2750000 | 2713483 |
| Ford Credit Floorplan Master Owner Trust A Series 2023-1 Class A1, 4.92% 5/15/2028 (b) | 2589000 | 2597168 |
| Ford Credit Floorplan Master Owner Trust A Series 2024-1 Class A1, 5.29% 4/15/2029 (b) | 2500000 | 2535604 |
| GM Financial Consumer Automobile Receivables Trust Series 2023-3 Class A3, 5.45% 6/16/2028  | 204313 | 205573 |
| GM Financial Leasing Trust Series 2023-3 Class A3, 5.38% 11/20/2026  | 74338 | 74486 |
| GM Financial Revolving Receivables Trust Series 2024-1 Class A, 4.98% 12/11/2036 (b) | 704000 | 716000 |
| GMF Floorplan Owner Revolving Trust Series 2023-1 Class A1, 5.34% 6/15/2028 (b) | 1126000 | 1134612 |
| Great America Leasing Receivables Funding LLC Series 2025-1 Series 2025-1 Class A2, 4.52% 10/15/2027 (b) | 500000 | 499299 |
| Great America Leasing Receivables Funding LLC Series 2025-1 Series 2025-1 Class A3, 4.49% 4/16/2029 (b) | 500000 | 498918 |
| Greensky Home Improvement Trust Series 2024-2 Class A2, 5.25% 10/27/2059 (b) | 1206989 | 1208576 |
| Honda Auto Receivables 2023-3 Owner Tr Series 2023-3 Class A3, 5.41% 2/18/2028  | 559539 | 562958 |
| HPEFS Equipment Trust Series 2024-2A Class A3, 5.36% 10/20/2031 (b) | 400000 | 402649 |
| Hyundai Auto Lease Securitization Trust Series 2024-B Class A3, 5.41% 5/17/2027 (b) | 453000 | 456646 |
| Hyundai Auto Lease Securitization Trust Series 2024-C Class A3, 4.62% 4/17/2028 (b) | 1300000 | 1302904 |
| Hyundai Auto Lease Securitization Trust Series 2025-B Class A2A, 4.58% 9/15/2027 (b) | 1200000 | 1201650 |
| Hyundai Auto Receivables Trust Series 2024-A Class A3, 4.99% 2/15/2029  | 268000 | 269966 |
| John Deere Owner Trust Series 2025-A Class A2A, 4.23% 3/15/2028  | 900000 | 898092 |
| Marlette Funding Trust Series 2024-1A Class A, 5.95% 7/17/2034 (b) | 20828 | 20860 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A3, 5.32% 1/18/2028  | 290000 | 293051 |
| Mercedes-Benz Auto Lease Trust Series 2024-B Class A3, 4.23% 2/15/2028  | 1000000 | 996710 |
| Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/2036 (b) | 533297 | 537898 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (b) | 243652 | 245140 |
| Oportun Funding Trust Series 2024-3 Class A, 5.26% 8/15/2029 (b) | 143212 | 143202 |
| OWN Equipment Fund I LLC Series 2024-2M Class A, 5.7% 12/20/2032 (b) | 739741 | 745233 |
| Peac Solutions Receivables Series 2025-1A Class A2, 4.94% 10/20/2028 (b) | 265000 | 265328 |
| Post Road Equipment Finance LLC Series 2025-1A Class A2, 4.9% 5/15/2031 (b) | 140000 | 140424 |
| PRMI Securitization Trust Series 2024-CMG1 Class A1, U.S. 30-Day Avg. SOFR Index + 1.3%, 5.8% 7/25/2054 (b)(c)(d) | 594578 | 590990 |
| PRPM Trust Series 2023-RCF2 Class A1, 4% 11/25/2053 (b) | 449440 | 438044 |
| Santander Drive Auto Receivables Trust Series 2025-2 Class A3, 4.67% 8/15/2029  | 700000 | 702098 |
| SBNA Auto Lease Trust Series 2024-B Class A3, 5.56% 11/22/2027 (b) | 258000 | 260144 |
| SBNA Auto Lease Trust Series 2024-C Class A3, 4.56% 2/22/2028 (b) | 232000 | 231773 |
| SFS Auto Receivables Securitization Trust Series 2024-2A Class A3, 5.33% 11/20/2029 (b) | 147000 | 148553 |
| Stellantis Financial Underwritten Enhanced Lease Trust Series 2025-AA Class A2, 4.63% 7/20/2027 (b) | 3700000 | 3700742 |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/2051 (b) | 784333 | 721368 |
| Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/2026 (b) | 70800 | 70895 |
| Tesla Series 2024-A Class A2A, 5.37% 6/22/2026 (b) | 20687 | 20702 |
| Toyota Auto Loan Extended Note Trust Series 2021-1A Class A, 1.07% 2/27/2034 (b) | 1800000 | 1754864 |
| Toyota Auto Receivables Owner Trust Series 2025-B Class A3, 4.34% 11/15/2029  | 2100000 | 2101299 |
| Toyota Lease Owner Trust Series 2023-A Class A3, 4.93% 4/20/2026 (b) | 25655 | 25661 |
| USAA Auto Owner Trust Series 2024-A Class A3, 5.03% 3/15/2029 (b) | 1900000 | 1912044 |
| Verd Series 2025-1A Class A2, 4.85% 3/13/2028 (b) | 230000 | 230200 |
| Volkswagen Auto Lease Trust Series 2024-A Class A3, 5.21% 6/21/2027  | 229000 | 230871 |
| Volvo Financial Equipment LLC Series 2025-1A Class A2, 4.41% 11/15/2027 (b) | 500000 | 499242 |
| Wheels Fleet Lease Funding 1 LLC Series 2023-2A Class A, 6.46% 8/18/2038 (b) | 719029 | 728446 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-1A Class A1, 5.49% 2/18/2039 (b) | 1116147 | 1125890 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-2A Class A1, 4.87% 6/21/2039 (b) | 402000 | 403086 |
| Willis Engine Structured Tr VII Series 2023-A Class A, 8% 10/15/2048 (b) | 236825 | 241819 |
| World Omni Auto Receivables Trust 2023-B Series 2023-B Class A3, 4.66% 5/15/2028  | 206381 | 206446 |
| World Omni Auto Receivables Trust 2023-C Series 2023-C Class A3, 5.15% 11/15/2028  | 130000 | 130441 |
| World Omni Automobile Lease Securitization Trust Series 2025-A Class A2A, 4.35% 12/15/2027  | 800000 | 798740 |
| TOTAL UNITED STATES |  | 51064538 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $51,029,323) |  | <br> **51365092** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 8.6%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 8.6%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 8.6%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 8.6%  |  |  |
| Ajax Mortgage Loan Trust Series 2021-C Class A, 5.115% 1/25/2061 (b) | 105703 | 105657 |
| Ajax Mortgage Loan Trust Series 2021-E Class A1, 1.74% 12/25/2060 (b) | 1126850 | 972090 |
| Binom Securitization Trust Series 2022-RPL1 Class A1, 3% 2/25/2061 (b) | 262783 | 241057 |
| Bravo Residential Fdg Tr 2025-Nqm5 Series 2025-NQM5 Class A1, 5.496% 2/25/2065 (b)(f) | 600000 | 600303 |
| Bravo Residential Funding Trust Series 2022-RPL1 Class A1, 2.75% 9/25/2061 (b) | 877996 | 792686 |
| CFMT LLC Series 2024-HB13 Class A, 3% 5/25/2034 (b)(d) | 145967 | 143133 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (b)(d) | 77321 | 76497 |
| Cross Mortgage Trust Series 2025-H4 Class A1, 5.596% 6/25/2070 (b)(d) | 700000 | 701041 |
| Fannie Mae Guaranteed REMIC Series 2013-44 Class DJ, 1.85% 5/25/2033  | 68498 | 62749 |
| Fannie Mae Guaranteed REMIC Series 2016-3 Class PL, 2.5% 2/25/2046  | 3086025 | 2627984 |
| Fannie Mae Guaranteed REMIC Series 2020-51 Class BA, 2% 6/25/2046  | 555314 | 484393 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  | 272863 | 223158 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  | 289975 | 237153 |
| Fannie Mae Guaranteed REMIC Series 2021-69 Class JK, 1.5% 10/25/2051  | 251449 | 211561 |
| Fannie Mae Guaranteed REMIC Series 2021-77 Class CH, 1.5% 8/25/2050  | 107460 | 86947 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  | 235428 | 203836 |
| Fannie Mae Guaranteed REMIC Series 2021-95 Class BA, 2.5% 6/25/2049  | 713813 | 611776 |
| Fannie Mae Guaranteed REMIC Series 2021-95, 2.5% 9/25/2048  | 478903 | 415723 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class AH, 2.5% 3/25/2049  | 1080221 | 928554 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  | 377375 | 321556 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  | 228030 | 207057 |
| Fannie Mae Guaranteed REMIC Series 2022-11 Class B, 3% 6/25/2049  | 276394 | 253211 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class HA, 3% 8/25/2046  | 256771 | 238271 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class JA, 3% 5/25/2048  | 240259 | 218281 |
| Fannie Mae Guaranteed REMIC Series 2022-2 Class TH, 2.5% 2/25/2052  | 135420 | 122751 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class D, 2% 2/25/2048  | 651893 | 569944 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  | 1806240 | 1560228 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  | 277183 | 237963 |
| Fannie Mae Guaranteed REMIC Series 2022-49 Class TC, 4% 12/25/2048  | 198746 | 192912 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class DA, 2.25% 11/25/2047  | 757927 | 662720 |
| Fannie Mae Guaranteed REMIC Series 2022-53 Class FG, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.122% 8/25/2052 (c)(d) | 909497 | 881876 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FJ, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.122% 9/25/2052 (c)(d) | 1904618 | 1846776 |
| Fannie Mae Guaranteed REMIC Series 2022-64 Class GF, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.122% 10/25/2052 (c)(d) | 629964 | 617364 |
| Fannie Mae Guaranteed REMIC Series 2022-67 Class FA, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.122% 10/25/2052 (c)(d) | 2245047 | 2177927 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  | 323114 | 293489 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class E, 2.5% 11/25/2047  | 690309 | 610999 |
| Fannie Mae Guaranteed REMIC Series 2023-53 Class FD, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.822% 11/25/2053 (c)(d) | 689635 | 694245 |
| Fannie Mae Guaranteed REMIC Series 2023-54 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.772% 11/25/2053 (c)(d) | 1208536 | 1217125 |
| Fannie Mae Guaranteed REMIC Series 2023-56 Class FC, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.822% 11/25/2053 (c)(d) | 301568 | 303603 |
| Fannie Mae Guaranteed REMIC Series 2024-41 Class FB, U.S. 30-Day Avg. SOFR Index + 1.53%, 5.852% 7/25/2054 (c)(d) | 381695 | 381767 |
| Fannie Mae Guaranteed REMIC Series 2024-90 Class FD, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.522% 12/25/2054 (c)(d) | 2138269 | 2132153 |
| Fannie Mae Guaranteed REMIC Series 2024-93 Class FG, U.S. 30-Day Avg. SOFR Index + 1.1%, 5.422% 12/25/2054 (c)(d) | 326498 | 326092 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-56 Class AH, 2% 5/25/2045  | 482673 | 448186 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class EF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.522% 6/25/2054 (c)(d) | 1017954 | 1013694 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-33 Class FC, U.S. 30-Day Avg. SOFR Index + 1.6%, 5.922% 8/25/2054 (c)(d) | 1175651 | 1181463 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.522% 9/25/2054 (c)(d) | 483851 | 482354 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.722% 2/25/2055 (c)(d) | 773093 | 771457 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.722% 9/25/2054 (c)(d) | 783073 | 780666 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.522% 2/25/2055 (c)(d) | 1047649 | 1044499 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.472% 2/25/2055 (c)(d) | 421001 | 419859 |
| Fannie Mae Series 2022-30 Class E, 4.5% 7/25/2048  | 646307 | 635220 |
| Fannie Mae Series 2022-9 Class BA, 3% 5/25/2048  | 199625 | 181285 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class EA, 2.5% 8/25/2048  | 194735 | 168625 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  | 219393 | 188790 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5164 Class M, 2.5% 7/25/2048  | 198911 | 172475 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5165 Class PC, 1.5% 11/25/2051  | 317091 | 266639 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5001 Class A, 2% 1/25/2045  | 201207 | 183300 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5002 Class TJ, 2% 7/25/2050  | 931976 | 781316 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5018 Class LC, 3% 10/25/2040  | 143231 | 127638 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5041 Class LA, 1.5% 11/25/2040  | 1283141 | 1055458 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5046 Class PT, 1.5% 11/25/2040  | 975518 | 801545 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5083 Class VA, 1% 8/15/2038  | 421037 | 398219 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5141 Class JM, 1.5% 4/25/2051  | 189511 | 156959 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class AD, 1.5% 10/25/2051  | 249758 | 209549 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class PC, 1.5% 10/25/2051  | 246612 | 204579 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5169 Class TP, 2.5% 6/25/2049  | 197596 | 168946 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  | 1383817 | 1185697 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  | 274029 | 241585 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5182 Class A, 2.5% 10/25/2048  | 1827643 | 1586435 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  | 189962 | 162810 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class TP, 2.5% 5/25/2049  | 205887 | 176434 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  | 170750 | 150411 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class CA, 2.5% 5/25/2049  | 172528 | 147805 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  | 322495 | 271933 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5196 Class ME, 1.75% 2/25/2052  | 1302292 | 1137764 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class A, 2.5% 6/25/2049  | 172528 | 147805 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  | 129556 | 114246 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  | 612003 | 543360 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5201 Class EB, 3% 2/25/2048  | 3501803 | 3197259 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class AG, 3% 1/25/2049  | 124322 | 112338 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class LB, 2.5% 10/25/2047  | 138872 | 122645 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class UA, 3% 4/25/2050  | 286566 | 252864 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5210 Class AB, 3% 1/25/2042  | 368657 | 341898 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5214 Class CB, 3.25% 4/25/2052  | 899931 | 839344 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5236 Class P, 5% 4/25/2048  | 290963 | 290693 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5266 Class CD, 4.5% 10/25/2044  | 166288 | 164266 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5354 Class FC, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.772% 10/25/2053 (c)(d) | 870550 | 875829 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5459 Class FD, U.S. 30-Day Avg. SOFR Index + 1%, 5.322% 10/25/2054 (c)(d) | 240721 | 239340 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class NF, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.472% 2/25/2055 (c)(d) | 2580023 | 2568863 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.522% 2/25/2055 (c)(d) | 379176 | 375922 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 5.572% 10/25/2054 (c)(d) | 749480 | 748075 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5509 Class FB, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.472% 2/25/2055 (c)(d) | 589043 | 587334 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5517 Class HF, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.672% 3/25/2055 (c)(d) | 1630855 | 1625012 |
| Ginnie Mae Mortgage pass-thru certificates Series 2018-H12 Class HA, 3.25% 8/20/2068 (e) | 33522 | 32518 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-69 Class WA, 3% 2/20/2046  | 17461 | 15913 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class BA, 3% 9/20/2047  | 107924 | 94869 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-23 Class NF, CME Term SOFR 1 month Index + 0.5645%, 4.8889% 2/20/2049 (c)(d) | 78690 | 77257 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL2 Class A1, 3.75% 7/25/2061 (b) | 616414 | 597246 |
| JPMorgan Mortgage Trust Series 2025-NQM2 Class A1, 5.567% 9/25/2065 (b)(d) | 600000 | 600673 |
| MFA Trust Series 2022-RPL1 Class A1, 3.3% 8/25/2061 (b) | 722365 | 670536 |
| MFRA Trust Series 2024-RPL1 Class A1, 4.25% 2/25/2066 (b)(d) | 275675 | 255167 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM3 Series 2025-NQM3 Class A1, 5.53% 5/25/2070 (b)(d) | 1152000 | 1153209 |
| New Residential Mortgage Loan Trust Series 2019-1A Class A1B, 3.5% 10/25/2059 (b) | 39016 | 36296 |
| New York Mortgage Trust Series 2021-SP1 Class A1, 4.6696% 8/25/2061 (b) | 199480 | 198494 |
| NYMT Loan Trust Series 2021-CP1 Class A1, 2.0424% 7/25/2061 (b) | 1032575 | 953342 |
| NYMT Loan Trust Series 2024-CP1 Class A1, 3.75% 2/25/2068 (b) | 351358 | 323548 |
| Ocwen Loan Investment Trust Series 2023-HB1 Class A, 3% 6/25/2036 (b) | 21403 | 21121 |
| Ocwen Loan Investment Trust Series 2024-HB1 Class A, 3% 2/25/2037 (b) | 39350 | 38271 |
| Onity Loan Investment Trust 2024-Hb2 Series 2024-HB2 Class A, 5% 8/25/2037 (b) | 258159 | 257159 |
| PRET Trust Series 2024-RPL1 Class A1, 3.9% 10/25/2063 (b) | 584132 | 547878 |
| PRPM LLC Series 2024-RCF3 Class A1, 4% 5/25/2054 (b) | 672278 | 654072 |
| PRPM LLC Series 2024-RCF4 Class A1, 4% 7/25/2054 (b) | 239839 | 233951 |
| PRPM LLC Series 2024-RCF6 Class A1, 4% 10/25/2054 (b)(d) | 90707 | 87706 |
| PRPM LLC Series 2024-RPL2 Class A1, 3.5% 5/25/2054 (b)(d) | 551054 | 530815 |
| RCO VIII Mortgage LLC Series 2025-3 Class A1, 6.4345% 5/25/2030 (b)(d) | 400000 | 399506 |
| RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/2050 (b) | 175292 | 161841 |
| RMF Buyout Issuance Trust Series 2021-HB1 Class A, 1.2586% 11/25/2031 (b) | 7729 | 7701 |
| Towd Point Mortgage Trust Series 2021-1 Class A1, 2.25% 11/25/2061 (b)(d) | 1553603 | 1434117 |
| Towd Point Mortgage Trust Series 2022-1 Class A1, 3.75% 7/25/2062 (b) | 349514 | 329229 |
| TOTAL UNITED STATES |  | 65557731 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $66,118,562) |  | <br> **65557731** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 10.4%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 10.4%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 10.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 10.4%  |  |  |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 6.0426% 6/15/2030 (b)(c)(d) | 1580000 | 1586617 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (b) | 77840 | 74108 |
| BAMLL Commercial Mortgage Securities Trust Series 2022-DKLX Class A, CME Term SOFR 1 month Index + 1.15%, 5.479% 1/15/2039 (b)(c)(d) | 249399 | 248464 |
| BAMLL Commercial Mortgage Securities Trust Series 2022-DKLX Class B, CME Term SOFR 1 month Index + 1.55%, 5.879% 1/15/2039 (b)(c)(d) | 90691 | 89954 |
| BANK Series 2017-BNK5 Class A5, 3.39% 6/15/2060  | 600000 | 584205 |
| BANK Series 2018-BN10 Class A4, 3.428% 2/15/2061  | 227674 | 221276 |
| BANK Series 2018-BN10 Class A5, 3.688% 2/15/2061  | 1900000 | 1855959 |
| BANK Series 2018-BN13 Class A5, 4.217% 8/15/2061  | 700000 | 686956 |
| BANK Series 2018-BN14 Class A4, 4.231% 9/15/2060  | 600000 | 589522 |
| BANK Series 2018-BN14 Class ASB, 4.185% 9/15/2060  | 191946 | 190564 |
| BANK Series 2019-BN23 Class ASB, 2.846% 12/15/2052  | 91426 | 87709 |
| BANK Series 2020-BN25 Class XB, 0.4364% 1/15/2063 (d)(g) | 2000000 | 36259 |
| BANK Series 2020-BN26 Class ASB, 2.313% 3/15/2063  | 870778 | 829202 |
| BANK Series 2021-BN33 Class XA, 1.0438% 5/15/2064 (d)(g) | 2992970 | 126446 |
| BANK Series 2023-BNK45 Class A5, 5.203% 2/15/2056 (d) | 400000 | 399850 |
| BANK Series 2025-BNK49 Class A5, 5.623% 3/15/2058  | 1700000 | 1746714 |
| BBCMS Mortgage Trust Series 2023-C21 Class A3, 6.2958% 9/15/2056 (d) | 246000 | 261462 |
| Benchmark Mortgage Trust Series 2018-B1 Class ASB, 3.602% 1/15/2051  | 210443 | 207667 |
| Benchmark Mortgage Trust Series 2018-B2 Class ASB, 3.7802% 2/15/2051  | 175298 | 173423 |
| Benchmark Mortgage Trust Series 2019-B10 Class A4, 3.717% 3/15/2062  | 229000 | 219910 |
| Benchmark Mortgage Trust Series 2019-B12 Class XA, 1.0654% 8/15/2052 (d)(g) | 874086 | 24981 |
| Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.75% 12/15/2062 (d)(g) | 8884466 | 189660 |
| Benchmark Mortgage Trust Series 2020-B17 Class XA, 1.3724% 3/15/2053 (d)(g) | 1837791 | 81613 |
| Benchmark Mortgage Trust Series 2020-B18 Class XA, 1.7969% 7/15/2053 (d)(g) | 1355451 | 67929 |
| Benchmark Mortgage Trust Series 2021-B31 Class A5, 2.669% 12/15/2054  | 200000 | 172730 |
| Benchmark Mortgage Trust Series 2024-V9 Class A3, 5.6019% 8/15/2057  | 900000 | 924177 |
| BLOX Trust Series 2021-BLOX Class A, CME Term SOFR 1 month Index + 1.1145%, 5.4435% 9/15/2026 (b)(c)(d) | 531000 | 524098 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.6709% 3/15/2041 (b)(c)(d) | 221077 | 221215 |
| BMO Mortgage Trust Series 2022-C3 Class ASB, 5.3253% 9/15/2054 (d) | 500000 | 512992 |
| BMO Mortgage Trust Series 2025-5C9 Class A3, 5.7785% 4/15/2058 (d) | 7400000 | 7669373 |
| BMP Series 2024-MF23 Class A, CME Term SOFR 1 month Index + 1.3719%, 5.7007% 6/15/2041 (b)(c)(d) | 313000 | 313196 |
| BPR Trust Series 2022-OANA Class A, CME Term SOFR 1 month Index + 1.898%, 6.2267% 4/15/2037 (b)(c)(d) | 1680000 | 1679475 |
| BPR Trust Series 2022-OANA Class B, CME Term SOFR 1 month Index + 2.447%, 6.7757% 4/15/2037 (b)(c)(d) | 54000 | 53966 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.7204% 3/15/2041 (b)(c)(d) | 3258156 | 3260192 |
| BX Commercial Mortgage Trust 21-SOAR Series 2022-IND Class A, CME Term SOFR 1 month Index + 1.491%, 5.8197% 4/15/2037 (b)(c)(d) | 307544 | 307544 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 5.97% 5/15/2041 (b)(d) | 580765 | 581491 |
| BX Commercial Mortgage Trust Series 2019-IMC Class A, CME Term SOFR 1 month Index + 1.0463%, 5.3753% 4/15/2034 (b)(c)(d) | 56047 | 55521 |
| BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 5.1326% 10/15/2036 (b)(c)(d) | 475000 | 472925 |
| BX Commercial Mortgage Trust Series 2021-VINO Class A, CME Term SOFR 1 month Index + 0.7668%, 5.0958% 5/15/2038 (b)(c)(d) | 69580 | 69537 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class A, CME Term SOFR 1 month Index + 1.0129%, 5.3416% 2/15/2039 (b)(c)(d) | 138258 | 137999 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class A, CME Term SOFR 1 month Index + 1.7614%, 6.0901% 12/9/2040 (b)(c)(d) | 258479 | 259531 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class B, CME Term SOFR 1 month Index + 2.1908%, 6.5195% 12/9/2040 (b)(c)(d) | 143202 | 143604 |
| BX Commercial Mortgage Trust Series 2024-5C6 Class A3, 5.3161% 9/15/2057  | 1200000 | 1218731 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 5.6215% 12/15/2039 (b)(c)(d) | 148159 | 148159 |
| Bx Tr 2025-Tail Series 2025-TAIL Class A, CME Term SOFR 1 month Index + 1.4%, 5.7% 6/15/2035 (b)(c)(d) | 201000 | 201271 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.7706% 4/15/2041 (b)(c)(d) | 681466 | 682318 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 5.4725% 3/15/2030 (b)(c)(d) | 1438000 | 1427215 |
| BX Trust Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 5.2435% 2/15/2036 (b)(c)(d) | 282000 | 281824 |
| BX Trust Series 2021-MFM1 Class A, CME Term SOFR 1 month Index + 0.8145%, 5.1435% 1/15/2034 (b)(c)(d) | 123443 | 123366 |
| BX Trust Series 2021-SOAR Class A, CME Term SOFR 1 month Index + 0.7845%, 5.1135% 6/15/2038 (b)(c)(d) | 591798 | 591428 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.7707% 2/15/2039 (b)(c)(d) | 533144 | 533810 |
| BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 6.0199% 3/15/2041 (b)(c)(d) | 181893 | 182007 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 5.4787% 2/15/2035 (b)(c)(d) | 437000 | 435361 |
| CAMB Commercial Mortgage Trust Series 2019-LIFE Class A, CME Term SOFR 1 month Index + 1.367%, 5.696% 12/15/2037 (b)(c)(d) | 652000 | 651593 |
| CCUBS Commercial Mortgage Trust Series 2017-C1 Class ASB, 3.462% 11/15/2050  | 46977 | 46307 |
| CD Mortgage Trust Series 2017-CD6 Class ASB, 3.332% 11/13/2050  | 889328 | 875405 |
| CFCRE Commercial Mortgage Trust Series 2016-C7 Class A2, 3.5853% 12/10/2054  | 439884 | 431905 |
| CFCRE Commercial Mortgage Trust Series 2017-C8 Class A3, 3.3048% 6/15/2050  | 694202 | 674655 |
| Citigroup Commercial Mortgage Trust Series 2015-GC33 Class AAB, 3.522% 9/10/2058  | 5631 | 5622 |
| Citigroup Commercial Mortgage Trust Series 2015-P1 Class A5, 3.717% 9/15/2048  | 785255 | 782690 |
| Citigroup Commercial Mortgage Trust Series 2017-P7 Class AAB, 3.509% 4/14/2050  | 122249 | 121147 |
| Citigroup Commercial Mortgage Trust Series 2019-GC41 Class XA, 1.0317% 8/10/2056 (d)(g) | 4206796 | 133926 |
| COMM Mortgage Trust Series 2015-CR24 Class A5, 3.696% 8/10/2048  | 691064 | 689403 |
| COMM Mortgage Trust Series 2015-LC21 Class A4, 3.708% 7/10/2048  | 86119 | 86004 |
| COMM Mortgage Trust Series 2016-COR1 Class ASB, 2.972% 10/10/2049  | 186840 | 185193 |
| CSAIL Commercial Mortgage Trust Series 2016-C7 Class ASB, 3.3143% 11/15/2049  | 19218 | 19176 |
| DBJPM Mortgage Trust Series 2017-C6 Class ASB, 3.121% 6/10/2050  | 269605 | 265628 |
| ELP Commercial Mortgage Trust Series 2021-ELP Class A, CME Term SOFR 1 month Index + 0.8155%, 5.1445% 11/15/2038 (b)(c)(d) | 948896 | 946524 |
| ELP Commercial Mortgage Trust Series 2021-ELP Class B, CME Term SOFR 1 month Index + 1.2347%, 5.5637% 11/15/2038 (b)(c)(d) | 661230 | 658957 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-K049 Class A2, 3.01% 7/25/2025  | 20920 | 20855 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K054 Class A2, 2.745% 1/25/2026  | 1055151 | 1042394 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K068 Class A2, 3.244% 8/25/2027  | 400000 | 391385 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K069 Class A2, 3.187% 9/25/2027  | 688098 | 672043 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K070 Class A2, 3.303% 11/25/2027  | 900000 | 880374 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K071 Class A2, 3.286% 11/25/2027  | 500000 | 488639 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K072 Class A2, 3.444% 12/25/2027  | 500000 | 490152 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K073 Class A2, 3.35% 1/25/2028  | 700000 | 684491 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K074 Class A2, 3.6% 1/25/2028  | 2300000 | 2262099 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K076 Class A2, 3.9% 4/25/2028  | 500000 | 495135 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K077 Class A2, 3.85% 5/25/2028  | 1600000 | 1582101 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K081 Class A2, 3.9% 8/25/2028  | 300000 | 297036 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K083 Class A2, 4.05% 9/25/2028  | 400000 | 397230 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K740 Class A2, 1.47% 9/25/2027  | 900000 | 846016 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K746 Class A2, 2.031% 9/25/2028  | 900000 | 839604 |
| GS Mortgage Securities Trust Series 2011-GC5 Class AS, 5.148% 8/10/2044 (b)(d) | 566529 | 553536 |
| GS Mortgage Securities Trust Series 2013-GC13 Class AS, 3.8787% 7/10/2046 (b)(d) | 42312 | 41572 |
| GS Mortgage Securities Trust Series 2015-GC34 Class AAB, 3.278% 10/10/2048  | 1417 | 1414 |
| GS Mortgage Securities Trust Series 2017-GS6 Class A2, 3.164% 5/10/2050  | 184774 | 179080 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A4, 3.89% 7/10/2051  | 3200000 | 3087510 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A5, 4.155% 7/10/2051  | 200000 | 192953 |
| GS Mortgage Securities Trust Series 2018-GS10 Class AAB, 4.106% 7/10/2051  | 125159 | 123751 |
| GS Mortgage Securities Trust Series 2018-GS9 Class A4, 3.992% 3/10/2051  | 300000 | 293495 |
| GS Mortgage Securities Trust Series 2019-GSA1 Class A4, 3.0479% 11/10/2052  | 400000 | 372802 |
| GS Mortgage Securities Trust Series 2020-GC45 Class AAB, 2.8428% 2/13/2053  | 278941 | 268278 |
| GS Mortgage Securities Trust Series 2021-IP Class A, CME Term SOFR 1 month Index + 1.0645%, 5.3935% 10/15/2036 (b)(c)(d) | 1165000 | 1157719 |
| Hilton USA Trust Series 2016-HHV Class B, 4.1935% 11/5/2038 (b)(d) | 446000 | 438688 |
| JPMCC Commercial Mortgage Securities Trust Series 2017-JP6 Class ASB, 3.2829% 7/15/2050  | 75432 | 74499 |
| JPMDB Commercial Mortgage Securities Trust Series 2017-C5 Class ASB, 3.4919% 3/15/2050  | 148958 | 146858 |
| JPMDB Commercial Mortgage Securities Trust Series 2018-C8 Class ASB, 4.145% 6/15/2051  | 593083 | 588337 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class AFX, 4.2475% 7/5/2033 (b) | 59000 | 55913 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2020-NNN Class AFX, 2.8123% 1/16/2037 (b) | 670000 | 592943 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2022-NLP Class A, CME Term SOFR 1 month Index + 0.8465%, 5.1752% 4/15/2037 (b)(c)(d) | 976280 | 959195 |
| Life Financial Services Trust Series 2022-BMR2 Class B, CME Term SOFR 1 month Index + 1.7939%, 6.1226% 5/15/2039 (b)(c)(d) | 400000 | 364000 |
| MHC Commercial Mortgage Trust Series 2021-MHC Class A, CME Term SOFR 1 month Index + 0.9154%, 5.2444% 4/15/2038 (b)(c)(d) | 118581 | 118507 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C28 Class A3, 3.272% 1/15/2049  | 75875 | 75219 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 Class ASB, 2.729% 9/15/2049  | 136051 | 135319 |
| Morgan Stanley Capital I Trust Series 2017-H1 Class A4, 3.259% 6/15/2050  | 700000 | 683088 |
| Morgan Stanley Capital I Trust Series 2017-HR2 Class A3, 3.33% 12/15/2050  | 297104 | 286591 |
| Morgan Stanley Capital I Trust Series 2017-HR2 Class A4, 3.587% 12/15/2050  | 340000 | 329542 |
| Morgan Stanley Capital I Trust Series 2018-H4 Class A4, 4.31% 12/15/2051  | 600000 | 589665 |
| Morgan Stanley Capital I Trust Series 2019-L2 Class A3, 3.806% 3/15/2052  | 449297 | 431729 |
| Morgan Stanley Capital I Trust Series 2019-NUGS Class A, CME Term SOFR 1 month Index + 1.0645%, 5.3935% 12/15/2036 (b)(c)(d) | 1000000 | 864314 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class XA, 1.1728% 6/15/2054 (d)(g) | 949194 | 41748 |
| Morgan Stanley Capital I Trust Series 2024-NSTB Class A, 3.9% 9/24/2057 (b)(d) | 1466069 | 1412969 |
| Natixis Commercial Mortgage Securities Trust Series 2020-2PAC Class A, 2.966% 12/15/2038 (b) | 664389 | 626142 |
| OPEN Trust Series 2023-AIR Class A, CME Term SOFR 1 month Index + 3.0891%, 7.4178% 11/15/2040 (b)(c)(d) | 80813 | 81037 |
| RLGH Trust Series 2021-TROT Class A, CME Term SOFR 1 month Index + 0.9145%, 5.2435% 4/15/2036 (b)(c)(d) | 1900000 | 1894327 |
| SREIT Trust Series 2021-FLWR Class A, CME Term SOFR 1 month Index + 0.691%, 5.02% 7/15/2036 (b)(c)(d) | 161375 | 161274 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 5.174% 11/15/2038 (b)(c)(d) | 1827836 | 1825551 |
| SREIT Trust Series 2021-MFP Class B, CME Term SOFR 1 month Index + 1.1943%, 5.523% 11/15/2038 (b)(c)(d) | 189578 | 188986 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 5.5716% 12/15/2039 (b)(c)(d) | 528000 | 527834 |
| UBS Commercial Mortgage Trust Series 2017-C3 Class ASB, 3.215% 8/15/2050  | 611751 | 602762 |
| UBS Commercial Mortgage Trust Series 2018-C12 Class ASB, 4.1945% 8/15/2051  | 1309087 | 1300522 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class X, 0.4294% 10/10/2042 (b)(d) | 1600000 | 30886 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C32 Class A3FL, CME Term SOFR 1 month Index + 1.5345%, 5.8632% 1/15/2059 (c)(d) | 626570 | 627546 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class XA, 0.9005% 8/15/2051 (d)(g) | 854120 | 16474 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C54 Class XA, 0.8304% 12/15/2052 (d)(g) | 5393963 | 171919 |
| Wells Fargo Commercial Mortgage Trust Series 2021-FCMT Class A, CME Term SOFR 1 month Index + 1.3145%, 5.6435% 5/15/2031 (b)(c)(d) | 845000 | 838713 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class A, CME Term SOFR 1 month Index + 1.7913%, 6.12% 10/15/2041 (b)(c)(d) | 638000 | 640170 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class B, CME Term SOFR 1 month Index + 2.2906%, 6.6193% 10/15/2041 (b)(c)(d) | 1100000 | 1104746 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A11, CME Term SOFR 1 month Index + 1.9907%, 6.3194% 8/15/2041 (b)(c)(d) | 400000 | 399024 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A12, CME Term SOFR 1 month Index + 1.6912%, 6.0199% 8/15/2041 (b)(c)(d) | 900000 | 895497 |
| Wells Fargo Commerical Mortgage Trust Series 2025-VTT Class A, 5.1004% 3/15/2038 (b)(d) | 418000 | 416757 |
| TOTAL UNITED STATES |  | 78540596 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $78,639,335) |  | <br> **78540596** |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 126.0%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 126.0%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 126.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 126.0%  |  |  |
| Fannie Mae 2% 3/1/2052  | 1884029 | 1473656 |
| Fannie Mae 2.5% 1/1/2052  | 762643 | 626196 |
| Fannie Mae 2.5% 4/1/2052  | 425850 | 351922 |
| Fannie Mae 2.5% 6/1/2052  | 1507086 | 1249694 |
| Fannie Mae 3.5% 12/1/2036  | 199934 | 190773 |
| Fannie Mae 3.5% 5/1/2036  | 153652 | 148652 |
| Fannie Mae 5.5% 2/1/2055  | 5446562 | 5436751 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036  | 1048155 | 924468 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2037  | 1034758 | 909741 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 116358 | 96000 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2051  | 1053989 | 779587 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2051  | 87019 | 64554 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 630726 | 556297 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 598045 | 527473 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 328487 | 289724 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 23348 | 20593 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 16195 | 14284 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040  | 112500 | 92972 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2041  | 1914180 | 1564896 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 656672 | 579182 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 16412 | 14475 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 113941 | 94083 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 35974 | 31729 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 33712 | 29734 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2041  | 118597 | 97764 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2051  | 851242 | 629624 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 45065 | 39747 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 44390 | 39152 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 16751 | 14754 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2041  | 120879 | 99572 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 46248 | 40733 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 45776 | 40317 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2036  | 24376 | 21469 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 49190 | 43247 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 48012 | 42287 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 159878 | 119703 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 7/1/2036  | 34491 | 30324 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 8/1/2036  | 49630 | 43634 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2036  | 51271 | 45028 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2037  | 1708429 | 1556655 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 814791 | 637825 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 2452989 | 1937084 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 65964 | 51658 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2035  | 308326 | 280549 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2040  | 40374 | 34480 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 850216 | 716284 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 178001 | 150181 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 18077 | 15253 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 640223 | 508974 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 1916936 | 1513773 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 1435560 | 1137227 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 592943 | 469349 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2040  | 2100056 | 1791128 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 814623 | 686968 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 432944 | 365313 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 347912 | 293518 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 182974 | 154308 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 370804 | 291891 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 1884248 | 1491492 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 1197398 | 945565 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 139776 | 109505 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 2051037 | 1866263 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 127378 | 108926 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 15220 | 12952 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2041  | 429111 | 361309 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 397528 | 311437 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 1765367 | 1394081 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 914089 | 711272 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 553136 | 434901 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 386430 | 306124 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 352677 | 278503 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 322101 | 254357 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 81236 | 79117 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041  | 16220 | 13772 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 17105 | 13417 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 877746 | 684638 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 671621 | 525961 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 322505 | 254777 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2041  | 149360 | 126826 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 17699 | 13883 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 1026163 | 807137 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 471823 | 372739 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 269999 | 213213 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 263860 | 207376 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 213124 | 167368 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 201773 | 159715 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 47936 | 40930 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 1661215 | 1299374 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 841291 | 664617 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  | 2108632 | 1650654 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2035  | 1201199 | 1095237 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 35253 | 30074 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 17786 | 15065 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2035  | 260281 | 237321 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 413878 | 351857 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 409238 | 346160 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 271785 | 229415 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 2904272 | 2278934 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 422186 | 332470 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 305471 | 239698 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 157125 | 123588 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 75322 | 59480 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 33993 | 26631 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2035  | 396316 | 361356 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2041  | 514175 | 434001 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2041  | 414528 | 350382 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2041  | 51880 | 43815 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2041  | 269059 | 226956 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 154375 | 147727 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2040  | 27305 | 24240 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 1879930 | 1563560 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 223495 | 184068 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 87969 | 72450 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 151630 | 145166 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 9621 | 9219 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2037  | 57389 | 52160 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 1934195 | 1583306 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 293361 | 241425 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 120939 | 99680 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 99200 | 95013 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2034  | 9535 | 8914 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 637950 | 557161 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 413964 | 361744 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 287693 | 252464 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 95230 | 83573 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 95037 | 83345 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 86349 | 75806 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 2201694 | 1802277 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1850020 | 1530011 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 717361 | 590361 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 275892 | 263895 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 2270411 | 2173522 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 1253180 | 1031319 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 571269 | 472453 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 117397 | 109748 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 84922 | 81337 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2042  | 218825 | 192080 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  | 18510 | 16428 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2041  | 126963 | 112318 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2047  | 43880 | 36427 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 1305412 | 1077976 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 699209 | 577826 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2036  | 152760 | 146242 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  | 456992 | 415704 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2042  | 90393 | 79054 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  | 1629824 | 1358600 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 740515 | 609416 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 208900 | 172961 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 9731 | 9345 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2035  | 3779465 | 3524935 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2040  | 73585 | 65175 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 142583 | 125802 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 112774 | 99497 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 50293 | 44002 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 19790 | 17325 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 4018090 | 3334360 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 1490850 | 1236230 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 1456263 | 1200269 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 927948 | 768016 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 858115 | 707269 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 771710 | 632436 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 391394 | 322592 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2040  | 443395 | 392284 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 1753948 | 1454395 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 116082 | 102218 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 861465 | 714337 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 13251 | 12720 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 1687803 | 1389525 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 1364164 | 1123081 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 1320625 | 1087236 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 84744 | 69370 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2041  | 535670 | 468916 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2051  | 37013 | 30299 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 127004 | 120868 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 15953 | 15222 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 500540 | 430475 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2033  | 63663 | 61338 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2036  | 2930032 | 2747883 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 251038 | 218330 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 2642221 | 2278560 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 1549251 | 1332632 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 245234 | 210715 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  | 12025 | 11603 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  | 577949 | 550025 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  | 64229 | 62407 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2049  | 1741723 | 1509349 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 97328 | 83765 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 1226031 | 1054605 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 758358 | 653271 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 621603 | 534300 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 18398 | 15923 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 17400 | 15059 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 316952 | 307147 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 44501 | 43120 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 77269 | 73535 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 22074 | 21028 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 17744 | 16931 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2036  | 2018818 | 1889531 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 2146426 | 1867437 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  | 906037 | 779778 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 4384696 | 3762027 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 1554218 | 1335933 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 330041 | 284306 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 272496 | 234140 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 252129 | 216876 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 111189 | 108378 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2033  | 144551 | 139529 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2033  | 31749 | 30611 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2035  | 43868 | 42661 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2036  | 76831 | 72535 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 749074 | 650072 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 204093 | 176736 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 1407822 | 1209657 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 769620 | 661048 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 616774 | 529765 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 21987 | 21279 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 21541 | 20811 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 14610 | 14086 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2040  | 62203 | 57908 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 1022294 | 887181 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 533614 | 463589 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 1219973 | 1054159 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 364236 | 312966 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2036  | 42427 | 40055 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2038  | 29179 | 27965 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 1051620 | 912631 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 43719 | 37886 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 1053564 | 912343 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 35683 | 30900 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2038  | 77354 | 72762 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 847999 | 729827 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2033  | 37300 | 36014 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2034  | 129610 | 126132 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2035  | 20176 | 19099 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2036  | 82962 | 78038 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 1024814 | 886486 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 342780 | 296512 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2051  | 697736 | 601703 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2032  | 131574 | 127077 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2036  | 85219 | 80161 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2038  | 12146 | 11497 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  | 1188544 | 1027744 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 454440 | 392106 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2030  | 904339 | 882151 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 10401 | 10048 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 8605 | 8308 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2035  | 272881 | 264438 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 252092 | 229197 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2050  | 1578614 | 1459178 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 309803 | 276632 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 75982 | 68060 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 2721874 | 2460210 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 236768 | 215486 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2047  | 88693 | 80721 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 704217 | 628816 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 66262 | 59105 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2035  | 295723 | 286160 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 9504 | 8811 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 1559829 | 1440384 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 159409 | 142540 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2048  | 90765 | 82522 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2048  | 42010 | 38155 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052 (j) | 4670374 | 4199502 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2047  | 28855 | 26289 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2047  | 6547 | 5943 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2048  | 70344 | 63890 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2048  | 40020 | 36385 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  | 863286 | 767885 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2038  | 16020 | 15051 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2048  | 1462180 | 1324814 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  | 53078 | 51361 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  | 17147 | 16565 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 326914 | 302523 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  | 425153 | 381890 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2034  | 66542 | 64287 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2045  | 7799 | 7147 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2047  | 42949 | 39088 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2049  | 2039538 | 1840921 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 152675 | 138952 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2051  | 342629 | 318157 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2052  | 27363 | 25539 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 41723 | 39161 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  | 36576 | 34138 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2051  | 22944 | 21415 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2052  | 19407 | 18114 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 279941 | 266078 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2047  | 215399 | 201630 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2050  | 1693106 | 1571120 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 2467053 | 2325754 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2049  | 82450 | 76314 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 628358 | 582546 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  | 3398764 | 3149906 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2050  | 1116578 | 1035083 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  | 411177 | 379786 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  | 398290 | 367883 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 37223 | 34959 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 43506 | 40834 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 28972 | 27050 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 10511 | 9817 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  | 44876 | 41871 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 82901 | 79322 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 559012 | 550332 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2048  | 570859 | 547816 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2052  | 1167752 | 1105561 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 37240 | 35748 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 98799 | 94595 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 380888 | 374321 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 843844 | 830070 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2049 (h) | 1036892 | 992120 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2041  | 323826 | 317657 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2049  | 583480 | 559927 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 1081545 | 1059449 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 855353 | 837878 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 281952 | 273519 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 77620 | 75425 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 688699 | 676566 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 669187 | 655515 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 426139 | 417299 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 427974 | 419097 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2053  | 313475 | 309421 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2053  | 87399 | 84842 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2053  | 297668 | 288527 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2053  | 67408 | 65394 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  | 34963 | 34533 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  | 21153 | 20893 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  | 16531 | 16328 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2052  | 700846 | 700175 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 1497124 | 1500836 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 1165519 | 1156754 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 287541 | 286636 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2054  | 3774763 | 3748735 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 639699 | 639086 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 332297 | 331979 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 137508 | 137720 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 1104486 | 1096525 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2053  | 679374 | 678724 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 663352 | 661887 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 469520 | 470245 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 472230 | 473844 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 291372 | 289272 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2052  | 520470 | 519972 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  | 682423 | 677291 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  | 1055394 | 1081051 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 1469982 | 1494308 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 1286809 | 1316886 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 478763 | 490551 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 189248 | 194086 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 1319590 | 1347650 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 574604 | 581570 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2055  | 2793142 | 2860390 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 1754243 | 1775510 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 870443 | 888612 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 643977 | 656614 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 1819866 | 1841929 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 3454982 | 3516302 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 1222687 | 1251266 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 1043090 | 1055736 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  | 1927343 | 1950106 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2053  | 390199 | 397856 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 2212474 | 2238605 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 864876 | 886712 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2054  | 2780463 | 2881317 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055  | 287959 | 300159 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 11/1/2053  | 824176 | 854071 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 660757 | 679097 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2055  | 1177594 | 1226380 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 588551 | 605025 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 765572 | 787001 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 182985 | 190265 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 584460 | 606025 |
| Freddie Mac 5.5% 1/1/2055  | 2311642 | 2289923 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 575845 | 507893 |
| Freddie Mac Gold Pool 1.5% 1/1/2051  | 1044786 | 772780 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 436096 | 384635 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 57424 | 50648 |
| Freddie Mac Gold Pool 1.5% 11/1/2050  | 79233 | 59249 |
| Freddie Mac Gold Pool 1.5% 12/1/2035  | 632752 | 558084 |
| Freddie Mac Gold Pool 1.5% 12/1/2040  | 70146 | 57919 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 56461 | 42220 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 8464 | 6337 |
| Freddie Mac Gold Pool 1.5% 2/1/2036  | 42789 | 37740 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  | 119445 | 98452 |
| Freddie Mac Gold Pool 1.5% 2/1/2051  | 1061181 | 784906 |
| Freddie Mac Gold Pool 1.5% 3/1/2036  | 27394 | 24161 |
| Freddie Mac Gold Pool 1.5% 3/1/2041  | 121313 | 99910 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 1108991 | 820269 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 978805 | 725506 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 18869 | 14128 |
| Freddie Mac Gold Pool 1.5% 4/1/2036  | 46461 | 40920 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 609684 | 502305 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 122516 | 100822 |
| Freddie Mac Gold Pool 1.5% 4/1/2051 (i) | 6943509 | 5131450 |
| Freddie Mac Gold Pool 1.5% 4/1/2051  | 5275752 | 3898930 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 47816 | 42114 |
| Freddie Mac Gold Pool 1.5% 6/1/2036  | 48377 | 42608 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  | 44929 | 33639 |
| Freddie Mac Gold Pool 1.5% 7/1/2035  | 219173 | 194131 |
| Freddie Mac Gold Pool 1.5% 7/1/2036  | 40892 | 35952 |
| Freddie Mac Gold Pool 1.5% 8/1/2035  | 353573 | 313176 |
| Freddie Mac Gold Pool 1.5% 8/1/2036  | 29800 | 26200 |
| Freddie Mac Gold Pool 2% 10/1/2041  | 18423 | 15546 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 1909026 | 1500963 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 281445 | 222252 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 264553 | 209409 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 97986 | 77378 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 320040 | 269739 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 239006 | 201572 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 1784570 | 1398092 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 1736294 | 1365154 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 1684833 | 1314163 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 937051 | 736460 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 358123 | 282804 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 248517 | 194697 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 141880 | 112041 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 86382 | 68215 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 521984 | 412202 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 235785 | 186196 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 191600 | 149267 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 116298 | 91838 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 112578 | 88479 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 111175 | 87307 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 53047 | 41559 |
| Freddie Mac Gold Pool 2% 2/1/2041  | 192745 | 163656 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 1809840 | 1437118 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 2536726 | 2003211 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 2525457 | 1984841 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 293824 | 229181 |
| Freddie Mac Gold Pool 2% 3/1/2041  | 114121 | 97468 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 473249 | 371350 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 671630 | 527856 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 148492 | 115684 |
| Freddie Mac Gold Pool 2% 4/1/2041  | 17106 | 14505 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 646937 | 510875 |
| Freddie Mac Gold Pool 2% 5/1/2041  | 175735 | 148835 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 6067665 | 4808599 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 193406 | 151702 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 155926 | 123181 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 81722 | 64100 |
| Freddie Mac Gold Pool 2% 6/1/2041  | 298854 | 253081 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 1388917 | 1098107 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 1517239 | 1291210 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 17656 | 14928 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 93644 | 73949 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 155276 | 121649 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 3993899 | 3133946 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 179132 | 140338 |
| Freddie Mac Gold Pool 2% 9/1/2051  | 493049 | 390277 |
| Freddie Mac Gold Pool 2.5% 1/1/2042  | 619663 | 540725 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 620350 | 513044 |
| Freddie Mac Gold Pool 2.5% 10/1/2040  | 566749 | 500451 |
| Freddie Mac Gold Pool 2.5% 10/1/2041  | 303298 | 265209 |
| Freddie Mac Gold Pool 2.5% 10/1/2050  | 1202901 | 1000467 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 500126 | 411585 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  | 129447 | 123923 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 1580651 | 1388415 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 130088 | 114083 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 96085 | 84431 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 2266097 | 1878367 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 210201 | 174827 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 117999 | 96592 |
| Freddie Mac Gold Pool 2.5% 12/1/2050  | 188663 | 156737 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 945060 | 777749 |
| Freddie Mac Gold Pool 2.5% 2/1/2042  | 301366 | 264546 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 1707047 | 1418171 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 655973 | 540251 |
| Freddie Mac Gold Pool 2.5% 3/1/2033  | 18439 | 17571 |
| Freddie Mac Gold Pool 2.5% 3/1/2050  | 762883 | 629969 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  | 618590 | 509463 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 84116 | 73563 |
| Freddie Mac Gold Pool 2.5% 4/1/2047  | 449510 | 373020 |
| Freddie Mac Gold Pool 2.5% 5/1/2035  | 450758 | 420402 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 645013 | 570025 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 219134 | 193274 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 1490979 | 1237269 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 8484 | 8157 |
| Freddie Mac Gold Pool 2.5% 6/1/2041  | 99697 | 87721 |
| Freddie Mac Gold Pool 2.5% 7/1/2036  | 221518 | 205630 |
| Freddie Mac Gold Pool 2.5% 7/1/2043  | 53062 | 46137 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 469388 | 389075 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 220284 | 183282 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 1098851 | 908777 |
| Freddie Mac Gold Pool 2.5% 8/1/2032  | 6056723 | 5783979 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 458951 | 401548 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 78843 | 69416 |
| Freddie Mac Gold Pool 2.5% 8/1/2050  | 5337801 | 4432840 |
| Freddie Mac Gold Pool 2.5% 9/1/2041  | 174333 | 153314 |
| Freddie Mac Gold Pool 3% 1/1/2033  | 26231 | 25297 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 194339 | 166984 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 344676 | 297721 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 721174 | 620789 |
| Freddie Mac Gold Pool 3% 10/1/2053  | 42218 | 35966 |
| Freddie Mac Gold Pool 3% 11/1/2032  | 384567 | 371211 |
| Freddie Mac Gold Pool 3% 11/1/2047  | 71019 | 61877 |
| Freddie Mac Gold Pool 3% 11/1/2047  | 52485 | 45762 |
| Freddie Mac Gold Pool 3% 11/1/2048  | 24070 | 20987 |
| Freddie Mac Gold Pool 3% 11/1/2049  | 1018703 | 887249 |
| Freddie Mac Gold Pool 3% 11/1/2050  | 65051 | 55986 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 225148 | 193456 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 91895 | 78960 |
| Freddie Mac Gold Pool 3% 12/1/2030  | 32768 | 31828 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 30269 | 29333 |
| Freddie Mac Gold Pool 3% 12/1/2050  | 532473 | 458271 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 31321 | 30459 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 16214 | 15632 |
| Freddie Mac Gold Pool 3% 2/1/2048  | 570092 | 496170 |
| Freddie Mac Gold Pool 3% 3/1/2033  | 32357 | 31196 |
| Freddie Mac Gold Pool 3% 3/1/2048  | 29548 | 25716 |
| Freddie Mac Gold Pool 3% 3/1/2050  | 624072 | 538275 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 469447 | 403148 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 426136 | 365154 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 97283 | 83362 |
| Freddie Mac Gold Pool 3% 4/1/2033  | 28637 | 27634 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 16875 | 16163 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 625703 | 539682 |
| Freddie Mac Gold Pool 3% 5/1/2033  | 7696 | 7426 |
| Freddie Mac Gold Pool 3% 5/1/2035  | 722451 | 687546 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 214444 | 184627 |
| Freddie Mac Gold Pool 3% 5/1/2052  | 906065 | 779235 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 368268 | 319595 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 319177 | 273502 |
| Freddie Mac Gold Pool 3% 8/1/2049  | 50611 | 43764 |
| Freddie Mac Gold Pool 3% 8/1/2050  | 1849263 | 1605431 |
| Freddie Mac Gold Pool 3% 9/1/2047  | 27603 | 24067 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 198446 | 170699 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 97112 | 83442 |
| Freddie Mac Gold Pool 3.5% 1/1/2045  | 11574 | 10722 |
| Freddie Mac Gold Pool 3.5% 10/1/2034  | 584711 | 566217 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 7457 | 6787 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 12615 | 11197 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 19144 | 18531 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 51695 | 47048 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 12374 | 11250 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 59453 | 57316 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 169150 | 156637 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 138575 | 124084 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 792296 | 723514 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 1801479 | 1599022 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 1712265 | 1540168 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 22463 | 20051 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 1396202 | 1249763 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 753044 | 675239 |
| Freddie Mac Gold Pool 3.5% 6/1/2046  | 5436 | 4937 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 414547 | 383934 |
| Freddie Mac Gold Pool 3.5% 7/1/2047  | 125273 | 114013 |
| Freddie Mac Gold Pool 3.5% 7/1/2052  | 52330 | 46498 |
| Freddie Mac Gold Pool 3.5% 8/1/2042  | 9575 | 8873 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 194502 | 177019 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 22111 | 20123 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 15372 | 13990 |
| Freddie Mac Gold Pool 3.5% 8/1/2051  | 1173098 | 1047127 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 525074 | 485642 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 242225 | 224175 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 6471 | 5889 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 6038 | 5495 |
| Freddie Mac Gold Pool 4% 10/1/2048  | 215033 | 200010 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 638728 | 592759 |
| Freddie Mac Gold Pool 4% 11/1/2048  | 42632 | 39667 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 1018362 | 950366 |
| Freddie Mac Gold Pool 4% 2/1/2052  | 13851 | 12928 |
| Freddie Mac Gold Pool 4% 3/1/2049  | 612074 | 569314 |
| Freddie Mac Gold Pool 4% 5/1/2038  | 243962 | 233762 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 10604 | 10112 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 98936 | 92210 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 98713 | 92156 |
| Freddie Mac Gold Pool 4% 6/1/2048  | 402202 | 374481 |
| Freddie Mac Gold Pool 4% 7/1/2048  | 18610 | 17478 |
| Freddie Mac Gold Pool 4% 8/1/2048  | 181523 | 169011 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 141058 | 134177 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 238302 | 221877 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 44048 | 41012 |
| Freddie Mac Gold Pool 4% 9/1/2051  | 14803 | 13826 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 22644 | 22318 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 269438 | 259825 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  | 32888 | 31560 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 19326 | 18509 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 18358 | 17680 |
| Freddie Mac Gold Pool 4.5% 7/1/2041  | 1479823 | 1453585 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 33375 | 32247 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 14522 | 13981 |
| Freddie Mac Gold Pool 4.5% 7/1/2049  | 1684532 | 1614955 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 564742 | 551792 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 94911 | 92231 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 889406 | 871235 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 432539 | 424919 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 251895 | 246670 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 982693 | 962309 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 506585 | 496077 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 471736 | 461951 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 166379 | 162928 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 538675 | 529521 |
| Freddie Mac Gold Pool 5% 6/1/2053  | 233512 | 230346 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 3837121 | 3833446 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 1656340 | 1662001 |
| Freddie Mac Gold Pool 5.5% 10/1/2053  | 46774 | 46407 |
| Freddie Mac Gold Pool 5.5% 10/1/2054  | 1039458 | 1038462 |
| Freddie Mac Gold Pool 5.5% 11/1/2054  | 977192 | 979310 |
| Freddie Mac Gold Pool 5.5% 11/1/2054  | 981899 | 972674 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 281501 | 279296 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 120893 | 120135 |
| Freddie Mac Gold Pool 5.5% 3/1/2053 (i) | 2614260 | 2621561 |
| Freddie Mac Gold Pool 5.5% 5/1/2054  | 4272653 | 4234914 |
| Freddie Mac Gold Pool 6% 10/1/2054  | 877273 | 898600 |
| Freddie Mac Gold Pool 6% 11/1/2053  | 257624 | 262519 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 504993 | 517270 |
| Freddie Mac Gold Pool 6% 3/1/2053  | 466928 | 478571 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 2738912 | 2802929 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 1243830 | 1274068 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 7373220 | 7553509 |
| Freddie Mac Gold Pool 6% 9/1/2039  | 12109614 | 12466263 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 1215820 | 1260681 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 903550 | 936324 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 355761 | 368666 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 349882 | 362791 |
| Freddie Mac Gold Pool 6.5% 2/1/2054  | 3882635 | 4023468 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 1542347 | 1603112 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 270874 | 282159 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 173240 | 180024 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 166943 | 172998 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 4808433 | 5016281 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 321041 | 334617 |
| Freddie Mac Manufactured Housing participation certificates 5.5% 4/1/2055  | 1198701 | 1189313 |
| Freddie Mac Manufactured Housing participation certificates 6% 3/1/2055  | 605499 | 618752 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 1057488 | 1101298 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 984528 | 1026854 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 310536 | 325657 |
| Freddie Mac Non Gold Pool 3.5% 5/1/2049  | 170563 | 153624 |
| Freddie Mac Non Gold Pool 5% 8/1/2053  | 358414 | 348935 |
| Freddie Mac Non Gold Pool 5.5% 4/1/2055  | 3992889 | 3995304 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 1217970 | 1219088 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 481164 | 491208 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 471684 | 480792 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 411440 | 419514 |
| Freddie Mac Non Gold Pool 6% 6/1/2054  | 6153630 | 6282076 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 424182 | 433036 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 375643 | 383014 |
| Freddie Mac Non Gold Pool 6% 9/1/2053  | 530860 | 541277 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 2289868 | 2376863 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 569034 | 594564 |
| Freddie Mac Non Gold Pool 6.5% 11/1/2054  | 261376 | 272940 |
| Freddie Mac Non Gold Pool 6.5% 2/1/2055  | 653359 | 683081 |
| Ginnie Mae I Pool 2.5% 1/20/2052  | 587421 | 488123 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 905384 | 752338 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 616344 | 512158 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 473996 | 393872 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 3291287 | 2734930 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 861462 | 715841 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 519513 | 431695 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 1473116 | 1224101 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 848611 | 705162 |
| Ginnie Mae I Pool 3% 2/20/2050  | 201158 | 175214 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 7785 | 6943 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 3392 | 3015 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 2559 | 2289 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 975 | 866 |
| Ginnie Mae I Pool 4% 10/20/2052  | 3833531 | 3539344 |
| Ginnie Mae I Pool 4% 3/20/2047  | 10202 | 9509 |
| Ginnie Mae I Pool 4% 4/20/2048  | 11544 | 10701 |
| Ginnie Mae I Pool 4% 4/20/2048  | 10589 | 9816 |
| Ginnie Mae I Pool 4% 5/20/2049  | 98782 | 91078 |
| Ginnie Mae I Pool 4.5% 4/20/2053  | 1257478 | 1192112 |
| Ginnie Mae I Pool 5% 4/20/2048  | 172277 | 171567 |
| Ginnie Mae I Pool 5.5% 3/20/2054  | 1297478 | 1297100 |
| Ginnie Mae II Pool 2% 1/20/2051  | 11045150 | 8877812 |
| Ginnie Mae II Pool 2% 10/20/2050  | 4877831 | 3920677 |
| Ginnie Mae II Pool 2% 11/20/2050  | 2212150 | 1778070 |
| Ginnie Mae II Pool 2% 12/20/2050  | 4586562 | 3686562 |
| Ginnie Mae II Pool 2% 12/20/2051  | 1794923 | 1442714 |
| Ginnie Mae II Pool 2% 2/20/2051  | 467277 | 375585 |
| Ginnie Mae II Pool 2% 2/20/2052  | 17087965 | 13734874 |
| Ginnie Mae II Pool 2% 3/20/2052  | 2225320 | 1789351 |
| Ginnie Mae II Pool 2% 4/20/2051  | 156365 | 125682 |
| Ginnie Mae II Pool 2% 6/1/2055 (k) | 26125000 | 20989520 |
| Ginnie Mae II Pool 2% 7/1/2055 (k) | 8700000 | 6988792 |
| Ginnie Mae II Pool 2% 9/20/2050  | 1785750 | 1436456 |
| Ginnie Mae II Pool 2.5% 1/20/2052  | 4455739 | 3735962 |
| Ginnie Mae II Pool 2.5% 11/20/2051  | 250773 | 210264 |
| Ginnie Mae II Pool 2.5% 12/20/2053  | 586569 | 492640 |
| Ginnie Mae II Pool 2.5% 2/20/2052  | 2901535 | 2434183 |
| Ginnie Mae II Pool 2.5% 4/20/2052  | 512389 | 429698 |
| Ginnie Mae II Pool 2.5% 6/1/2055 (k) | 19000000 | 15922648 |
| Ginnie Mae II Pool 2.5% 6/20/2051  | 1768145 | 1483073 |
| Ginnie Mae II Pool 2.5% 7/1/2055 (k) | 9250000 | 7748924 |
| Ginnie Mae II Pool 2.5% 7/20/2054  | 548274 | 459492 |
| Ginnie Mae II Pool 2.5% 8/20/2047  | 13207 | 11259 |
| Ginnie Mae II Pool 3% 1/20/2032  | 205678 | 198977 |
| Ginnie Mae II Pool 3% 10/20/2031  | 67969 | 65796 |
| Ginnie Mae II Pool 3% 11/20/2031  | 71744 | 69428 |
| Ginnie Mae II Pool 3% 12/20/2031  | 110401 | 106838 |
| Ginnie Mae II Pool 3% 2/20/2031  | 8794 | 8539 |
| Ginnie Mae II Pool 3% 3/20/2031  | 18059 | 17528 |
| Ginnie Mae II Pool 3% 3/20/2050  | 532689 | 465342 |
| Ginnie Mae II Pool 3% 4/20/2031  | 67167 | 65170 |
| Ginnie Mae II Pool 3% 5/20/2031  | 141567 | 137311 |
| Ginnie Mae II Pool 3% 6/1/2055 (k) | 22825000 | 19891908 |
| Ginnie Mae II Pool 3% 7/20/2031  | 2558 | 2478 |
| Ginnie Mae II Pool 3% 8/20/2031  | 21695 | 21022 |
| Ginnie Mae II Pool 3% 9/20/2031  | 8677 | 8405 |
| Ginnie Mae II Pool 3.5% 1/20/2044  | 4244 | 3893 |
| Ginnie Mae II Pool 3.5% 10/20/2043  | 2636 | 2421 |
| Ginnie Mae II Pool 3.5% 12/20/2040  | 1697 | 1578 |
| Ginnie Mae II Pool 3.5% 12/20/2041  | 1989 | 1843 |
| Ginnie Mae II Pool 3.5% 12/20/2043  | 2091 | 1919 |
| Ginnie Mae II Pool 3.5% 2/20/2043  | 2589 | 2389 |
| Ginnie Mae II Pool 3.5% 3/20/2044  | 2053 | 1883 |
| Ginnie Mae II Pool 3.5% 5/20/2043  | 225822 | 207307 |
| Ginnie Mae II Pool 3.5% 6/1/2055 (k) | 14650000 | 13039829 |
| Ginnie Mae II Pool 3.5% 6/20/2043  | 31217 | 28771 |
| Ginnie Mae II Pool 3.5% 7/1/2055 (k) | 11350000 | 10098539 |
| Ginnie Mae II Pool 3.5% 8/20/2043  | 2518 | 2319 |
| Ginnie Mae II Pool 3.5% 9/20/2040  | 3790 | 3520 |
| Ginnie Mae II Pool 3.5% 9/20/2043  | 2677 | 2460 |
| Ginnie Mae II Pool 4% 1/20/2041  | 39778 | 38129 |
| Ginnie Mae II Pool 4% 1/20/2046  | 8674 | 8114 |
| Ginnie Mae II Pool 4% 10/20/2040  | 13123 | 12583 |
| Ginnie Mae II Pool 4% 10/20/2045  | 2040 | 1911 |
| Ginnie Mae II Pool 4% 11/20/2042  | 63500 | 60605 |
| Ginnie Mae II Pool 4% 12/20/2045  | 11337 | 10605 |
| Ginnie Mae II Pool 4% 4/20/2047  | 540856 | 504082 |
| Ginnie Mae II Pool 4% 5/20/2046  | 19898 | 18613 |
| Ginnie Mae II Pool 4% 6/1/2055 (k) | 4100000 | 3757595 |
| Ginnie Mae II Pool 4% 6/20/2045  | 544225 | 515673 |
| Ginnie Mae II Pool 4% 7/20/2044  | 29896 | 28388 |
| Ginnie Mae II Pool 4% 8/20/2043  | 4556 | 4335 |
| Ginnie Mae II Pool 4% 8/20/2044  | 85465 | 81140 |
| Ginnie Mae II Pool 4% 8/20/2045  | 383079 | 358949 |
| Ginnie Mae II Pool 4% 8/20/2048  | 316036 | 293758 |
| Ginnie Mae II Pool 4% 9/20/2045  | 1933 | 1812 |
| Ginnie Mae II Pool 4.5% 11/20/2054  | 3553349 | 3355313 |
| Ginnie Mae II Pool 4.5% 3/20/2055  | 999999 | 944267 |
| Ginnie Mae II Pool 4.5% 4/20/2055  | 4699999 | 4438057 |
| Ginnie Mae II Pool 4.5% 5/20/2055  | 500000 | 472134 |
| Ginnie Mae II Pool 5% 11/20/2054  | 8576953 | 8326493 |
| Ginnie Mae II Pool 5% 12/20/2054  | 691735 | 671481 |
| Ginnie Mae II Pool 5% 6/1/2055 (k) | 10225000 | 9921630 |
| Ginnie Mae II Pool 5% 6/20/2048  | 219589 | 216968 |
| Ginnie Mae II Pool 5.5% 1/20/2055  | 1056121 | 1054493 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 1288319 | 1289554 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 396725 | 394223 |
| Ginnie Mae II Pool 5.5% 6/1/2055 (k) | 9200000 | 9136903 |
| Ginnie Mae II Pool 5.5% 7/1/2055 (k) | 9200000 | 9128278 |
| Ginnie Mae II Pool 6% 1/20/2055  | 1777838 | 1796466 |
| Ginnie Mae II Pool 6% 12/20/2054  | 2660756 | 2691129 |
| Ginnie Mae II Pool 6% 6/1/2055 (k) | 31400000 | 31704983 |
| Ginnie Mae II Pool 6% 7/1/2055 (k) | 31400000 | 31657144 |
| Uniform Mortgage Backed Securities 2% 6/1/2055 (k) | 83950000 | 65254722 |
| Uniform Mortgage Backed Securities 2% 7/1/2055 (k) | 60875000 | 47344577 |
| Uniform Mortgage Backed Securities 2.5% 6/1/2055 (k) | 34500000 | 28116148 |
| Uniform Mortgage Backed Securities 3% 6/1/2055 (k) | 5350000 | 4554185 |
| Uniform Mortgage Backed Securities 3.5% 6/1/2055 (k) | 12500000 | 11087885 |
| Uniform Mortgage Backed Securities 3.5% 7/1/2055 (k) | 4700000 | 4168126 |
| Uniform Mortgage Backed Securities 4% 6/1/2055 (k) | 4100000 | 3759185 |
| Uniform Mortgage Backed Securities 4.5% 6/1/2055 (k) | 9825000 | 9270813 |
| Uniform Mortgage Backed Securities 4.5% 7/1/2055 (k) | 12225000 | 11530664 |
| Uniform Mortgage Backed Securities 5% 6/1/2055 (k) | 9500000 | 9198298 |
| Uniform Mortgage Backed Securities 5.5% 6/1/2055 (k) | 7600000 | 7526380 |
| Uniform Mortgage Backed Securities 6% 6/1/2055 (k) | 35700000 | 36058396 |
| Uniform Mortgage Backed Securities 6% 7/1/2055 (k) | 8750000 | 8826563 |
| Uniform Mortgage Backed Securities 6.5% 6/1/2055 (k) | 28650000 | 29419954 |
| Uniform Mortgage Backed Securities 6.5% 7/1/2055 (k) | 3250000 | 3334295 |
| TOTAL UNITED STATES |  | 955820284 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $983,713,298) |  | <br> **955820284** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 2.3%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 2.3%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 2.3%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 2.3%** |
|  | Yield (%) (l) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 4.625% 11/15/2044  | 4.52 to 5.12 | 10900000 | 10469110 |
| US Treasury Bonds 4.625% 2/15/2055  | 4.74 | 410000 | 391091 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.58 to 2.63 | 2928928 | 2786734 |
| US Treasury Notes 3.75% 4/15/2028  | 3.69 | 40000 | 39871 |
| US Treasury Notes 4.75% 2/15/2045  | 4.95 to 4.97 | 3730000 | 3640830 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $17,536,523) |  |  | **17327636** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 4.8%** | &nbsp;&nbsp;**Money Market Funds - 4.8%** | &nbsp;&nbsp;**Money Market Funds - 4.8%** | &nbsp;&nbsp;**Money Market Funds - 4.8%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (m)<br>(Cost $36,109,726)<br>| 4.32 | 36102505 | **36109726** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.4%** | &nbsp;&nbsp;**Purchased Swaptions - 0.4%** | &nbsp;&nbsp;**Purchased Swaptions - 0.4%** | &nbsp;&nbsp;**Purchased Swaptions - 0.4%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.3% |  |  |  |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.1415% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 9/15/25 | 2400000 | 146346 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 3.87% and receive annually a floating rate based on US SOFR Index, expiring November 2034 | 11/07/29 | 3100000 | 129359 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.07% and receive annually a floating rate based on US SOFR Index, expiring December 2034 | 12/19/29 | 6940000 | 269126 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.01% and receive annually a floating rate based on US SOFR Index, expiring December 2034 | 12/20/29 | 2000000 | 79769 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.9025% and receive annually a floating rate based on US SOFR Index, expiring April 2036 | 4/14/26 | 3680000 | 110583 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.025% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/23/30 | 2610000 | 107862 |
| 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 | 4/24/30 | 3400000 | 137510 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.08% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/30 | 3150000 | 127056 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.03% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/25/30 | 400000 | 16475 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.95% and receive annually a floating rate based on US SOFR Indxe, expiring May 2035 | 4/29/30 | 2150000 | 91813 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.065% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/02/30 | 3470000 | 141464 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.01% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/07/30 | 2810000 | 117489 |
| TOTAL PUT SWAPTIONS |  |  | 1474852 |
| Call Swaptions - 0.1% |  |  |  |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.1415% and pay annually a floating rate based on US SOFR Index, expiring September 2035 | 9/15/25 | 2400000 | 6624 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 3.87% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 11/07/29 | 3100000 | 103577 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.07% and pay annually a floating rate based on US SOFR Index, expiring December 2034 | 12/19/29 | 6940000 | 260828 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.01% and pay annually a floating rate based on the US SOFR Index, expiring December 2034 | 12/20/29 | 2000000 | 72659 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.9025% and pay annually a floating rate based on US SOFR Index, expiring April 2036 | 4/14/26 | 3680000 | 119111 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.025% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/23/30 | 2610000 | 96016 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 4.075% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/30 | 3400000 | 128466 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.08% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/30 | 3150000 | 119272 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.03% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/25/30 | 400000 | 14712 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.95% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 4/29/30 | 2150000 | 75801 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.065% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/02/30 | 3470000 | 130463 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.01% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/07/30 | 2810000 | 102664 |
| TOTAL CALL SWAPTIONS |  |  | 1230193 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $2,819,597) |  |  | <br> **2705045** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 159.3%**<br> (Cost $1,235,966,364)<br>| <br>**1207426110** |
| **NET OTHER ASSETS (LIABILITIES) - (59.3)%**  | **(449022614)** |
| **NET ASSETS - 100.0%** | **758403496** |

---

---

| | | |
|:---|:---|:---|
| **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% 6/1/2055 | (13200000) | (10605231) |
| Ginnie Mae II Pool 2.5% 6/1/2055 | (9250000) | (7751815) |
| Ginnie Mae II Pool 3.5% 6/1/2055 | (11350000) | (10102529) |
| Ginnie Mae II Pool 5% 6/1/2055 | (1425000) | (1382721) |
| Ginnie Mae II Pool 5.5% 6/1/2055 | (9200000) | (9136903) |
| Ginnie Mae II Pool 6% 6/1/2055 | (31400000) | (31704983) |
| Uniform Mortgage Backed Securities 2% 6/1/2055 | (64675000) | (50272175) |
| Uniform Mortgage Backed Securities 2.5% 6/1/2055 | (10650000) | (8679333) |
| Uniform Mortgage Backed Securities 3% 6/1/2055 | (2600000) | (2213249) |
| Uniform Mortgage Backed Securities 3.5% 6/1/2055 | (8700000) | (7717168) |
| Uniform Mortgage Backed Securities 4% 6/1/2055 | (4100000) | (3759185) |
| Uniform Mortgage Backed Securities 4.5% 6/1/2055 | (9825000) | (9270813) |
| Uniform Mortgage Backed Securities 5% 6/1/2055 | (4800000) | (4647561) |
| Uniform Mortgage Backed Securities 5.5% 6/1/2055 | (12175000) | (12057063) |
| Uniform Mortgage Backed Securities 6% 6/1/2055 | (35750000) | (36108898) |
| Uniform Mortgage Backed Securities 6% 7/1/2055 | (10300000) | (10390126) |
| Uniform Mortgage Backed Securities 6.5% 6/1/2055 | (13800000) | (14170868) |
| Uniform Mortgage Backed Securities 6.5% 7/1/2055 | (3525000) | (3616428) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (233587049) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $233,478,449) |  | <br> **(233587049)** |

---

---

| | | | |
|:---|:---|:---|:---|
| &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 3.89% and pay annually a floating rate based on US SOFR Index, expiring April 2036 | 4/21/26 | 2300000 | (71098) |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.63% and pay annually a floating rate based on US SOFR Index, expiring November 2035 | 10/30/25 | 2000000 | (63240) |
| TOTAL PUT SWAPTIONS |  |  | (134338) |
| Call Swaptions |  |  |  |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.89% and receive annually a floating rate based on US SOFR Index, expiring April 2036 | 4/21/26 | 2300000 | (73824) |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.63% and receive annually a floating rate based on US SOFR Index, expiring November 2035 | 10/30/25 | 2000000 | (27081) |
| TOTAL CALL SWAPTIONS |  |  | (100905) |
| **TOTAL WRITTEN SWAPTIONS** |  |  | **(235243)** |

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 2 Year US Treasury Note Contracts (United States) | 276 | Sep 2025 | 57274313 | 107300 | 107300 |
| CBOT US Treasury Long Bond Contracts (United States) | 11 | Sep 2025 | 1244375 | 29767 | 29767 |
| TOTAL PURCHASED |  |  |  |  | 137067 |
| Sold |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 10 Year US Treasury Bond Contracts (United States) | 53 | Sep 2025 | 5878031 | (65251) | (65251) |
| CBOT 5 Year US Treasury Note Contracts (United States) | 159 | Sep 2025 | 17220445 | (135671) | (135671) |
| CBOT US Treasury Ultra Bond Contracts (United States) | 28 | Sep 2025 | 3255875 | (81880) | (81880) |
| TOTAL SOLD |  |  |  |  | (282802) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **(145735)** |
| The notional amount of futures purchased as a percentage of Net Assets is 7.8% | The notional amount of futures purchased as a percentage of Net Assets is 7.8% | The notional amount of futures purchased as a percentage of Net Assets is 7.8% | The notional amount of futures purchased as a percentage of Net Assets is 7.8% | The notional amount of futures purchased as a percentage of Net Assets is 7.8% | The notional amount of futures purchased as a percentage of Net Assets is 7.8% |
| The notional amount of futures sold as a percentage of Net Assets is 3.5% | The notional amount of futures sold as a percentage of Net Assets is 3.5% | The notional amount of futures sold as a percentage of Net Assets is 3.5% | The notional amount of futures sold as a percentage of Net Assets is 3.5% | The notional amount of futures sold as a percentage of Net Assets is 3.5% | The notional amount of futures sold as a percentage of Net Assets is 3.5% |

---

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **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 |  | Dec 2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 20000 | (36) | (59) | (95) |
| CMBX AAA Series 13 Index |  | Dec 2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 350000 | (637) | (3073) | (3710) |
| CMBX AAA Series 13 Index |  | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1300000 | (2367) | (8488) | (10855) |
| CMBX AAA Series 13 Index |  | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1410000 | (2567) | (9583) | (12150) |
| CMBX AAA Series 13 Index |  | Dec 2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 1020000 | (1857) | (10728) | (12585) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 10000 | 1705 | (2468) | (763) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 60000 | 10230 | (15397) | (5167) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 80000 | 13640 | (20540) | (6900) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | 160000 | 27280 | (44642) | (17362) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | 140000 | 23870 | (38594) | (14724) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | 110000 | 18755 | (28366) | (9611) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 20000 | 3410 | (4849) | (1439) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 80000 | 13640 | (18214) | (4574) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 160000 | 27280 | (36046) | (8766) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 30000 | 5115 | (6535) | (1420) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 10000 | 1705 | (2683) | (978) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 80000 | 13640 | (18465) | (4825) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 110000 | 18755 | (24708) | (5953) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 100000 | 17050 | (18939) | (1889) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 100000 | 17050 | (16443) | 607 |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 170000 | 28985 | (27339) | 1646 |
| CMBX BBB Series 15 Index |  | Nov 2064 | Citigroup Global Markets Ltd | (3%) | Monthly | 200000 | 33092 | (29994) | 3098 |
| CMBX BBB- Series 18 Index |  | Dec 2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 100000 | 7644 | (3831) | 3813 |
| CMBX BBB- Series 18 Index |  | Dec 2057 | Citigroup Global Markets Ltd | (3%) | Monthly | 100000 | 7644 | (3942) | 3702 |
| CMBX BBB- Series 18 Index |  | Dec 2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 200000 | 15287 | (7766) | 7521 |
| CMBX BBB- Series 18 Index |  | Dec 2057 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 100000 | 7644 | (3883) | 3761 |
| CMBX BBB- Series 18 Index |  | Dec 2057 | Citigroup Global Markets Ltd | (3%) | Monthly | 300000 | 22931 | (10944) | 11987 |
| CMBX BB Series 18 Index |  | Dec 2057 | JPMorgan Securities LLC | (5%) | Monthly | 100000 | 12752 | (6676) | 6076 |
| CMBX BB Series 18 Index |  | Dec 2057 | JPMorgan Securities LLC | (5%) | Monthly | 100000 | 12752 | (7148) | 5604 |
| CMBX BBB- Series 17 Index |  | Dec 2056 | Citigroup Global Markets Ltd | (3%) | Monthly | 100000 | 13019 | (12585) | 434 |
| CMBX BBB- Series 18 Index |  | Dec 2057 | JPMorgan Securities LLC | (3%) | Monthly | 100000 | 7644 | (4971) | 2673 |
| CMBX BBB Series 15 Index |  | Nov 2064 | Citigroup Global Markets Ltd | (3%) | Monthly | 300000 | 49638 | (48131) | 1507 |
| CMBX BBB- Series 18 Index |  | Dec 2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 200000 | 15287 | (21416) | (6129) |
| CMBX BB Series 18 Index |  | Dec 2057 | Goldman Sachs & Co LLC | (5%) | Monthly | 200000 | 25505 | (29900) | (4395) |
| CMBX BBB- Series 18 Index |  | Dec 2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 300000 | 22931 | (29568) | (6637) |
| CMBX BBB- Series 17 Index |  | Dec 2056 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 300000 | 39057 | (43756) | (4699) |
| CMBX BBB- Series 17 Index |  | Dec 2056 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 100000 | 13019 | (14476) | (1457) |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  | 540492 | (635146) | (94654) |
| Sell Protection |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 13 Index | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 2040000 | 3714 | 45279 | 48993 |
| CMBX AAA Series 13 Index | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 2060000 | 3751 | 47021 | 50772 |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 300000 | (5252) | 6616 | 1364 |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 500000 | (8754) | 12279 | 3525 |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 10000 | (175) | 245 | 70 |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 300000 | (5252) | 4729 | (523) |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 200000 | (3501) | 3153 | (348) |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 90000 | (1576) | 1360 | (216) |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 900000 | (15757) | 14121 | (1636) |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 700000 | (12255) | 12741 | 486 |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 2800000 | (49020) | 69294 | 20274 |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 2400000 | (42018) | 41404 | (614) |
| CMBX AAA Series 16 Index | NR | Apr 2065 | Citigroup Global Markets Ltd | 0.5% | Monthly | 1600000 | (19523) | 19634 | 111 |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  | (155618) | 277876 | 122258 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  | **384874** | **(357270)** | **27604** |

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(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 | 3.25% | Annual | LCH | Jun 2027 | 25168000 | 105494 | 0 | 105494 |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | Jun 2045 | 12133000 | 154381 | 0 | 154381 |
| U.S. SOFR Index(4) | Annual | 3.25% | Annual | LCH | Jun 2029 | 34225000 | 33719 | 0 | 33719 |
| U.S. SOFR Index(4) | Annual | 3.25% | Annual | LCH | Jun 2030 | 2498000 | (2003) | 0 | (2003) |
| U.S. SOFR Index(4) | Annual | 3.25% | Annual | LCH | Jun 2028 | 50451000 | 59992 | 0 | 59992 |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **351583** | **0** | **351583** |

---

(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) 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 $87,007,112 or 11.5% of net assets.

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

(e) 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.

(f) 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.

(g) 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.

(h) 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 $567,751.

(i) 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 $985,963.

(j) 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 $3,397,253.

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

(l) 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.

(m) 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 | 14224682 | 361512604 | 339627560 | 1700752 | - | - | 36109726 | 36102505 | 0.1% |
| Fidelity Securities Lending Cash Central Fund | - | 3911244 | 3911244 | 50 | - | - | - | - | 0.0% |
| Total | 14224682 | 365423848 | 343538804 | 1700802 | - | - | 36109726 |  |  |

---

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

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.

**Investment Valuation**

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

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

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

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

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

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

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

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

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

Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 in the hierarchy.

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

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

**Derivative Instruments**

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

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

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

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

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

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

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

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

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

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

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

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.

The Fund used OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates and/or potential credit events.

Open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." 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 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.

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

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

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

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

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

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

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## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Advisor Series II

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

- **a. Name of Series:** Fidelity Series Investment Grade Securitized Fund

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

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

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

- **a. Date of fiscal year-end:** 2025-08-31

- **b. Date as of which information is reported:** 2025-05-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1436701302.07

**Total Liabilities:** $706999222.23

**Net Assets:** $729702079.84

**Delayed Delivery Securities:** $439608115.78

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3121.00467200 | **1-Year:** 54973.23853024 | **5-Year:** 103914.08827456 | **10-Year:** 148105.03547619 | **30-Year:** 42041.72599362

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

- **3-Month:** 52.33028577 | **1-Year:** 718.61220651 | **5-Year:** 632.41611812 | **10-Year:** 212.75131604 | **30-Year:** 3.11416133

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000203455 | 0.14%                | 0.26%                | -0.85%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3150945.45              | $-5135423.77                               |
| Month 2  | $-243104.12              | $362141.58                                 |
| Month 3  | $-1853555.35             | $-7771593.65                               |

**Designated Index Information**

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

- **Index Identifier:** 19910058

### Schedule of Portfolio Investments

| Name                                                           | Title                                                                                       | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 01/01/2032#AS8602                                                            | CUSIP: 3138WJRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154375 | PA      | $147726.85    | 0.02%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 07/51#BT1461                                                                   | CUSIP: 3140LPTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75322 | PA      | $59480.13     | 0.01%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 11/01/2035#FM4368                                                            | CUSIP: 3140X72A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23348 | PA      | $20593.16     | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+125 10/25/2054                                       | CUSIP: 3137HJQ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    749480 | PA      | $748075.03    | 0.10%             | 2054-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 05/01/2051#CB0447                                                            | CUSIP: 3140QKP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1456263 | PA      | $1200269.08   | 0.16%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 56 FC SOFR30A+150 11/25/2053                                 | CUSIP: 3136BQNC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    301568 | PA      | $303602.50    | 0.04%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES 2023-3 OWNER TR                         | HONDA AUTO RECEIVABLES 2023-3 OWNER TR 5.41% 02/18/2028                                     | CUSIP: 43815QAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    559539 | PA      | $562958.38    | 0.08%             | 2028-02-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 11/01/2051#FM9464                                                              | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17400 | PA      | $15059.36     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                        | BX COML MTG TR 2024-XL4 A TSFR1M+144.203 02/15/2039 144A                                    | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    533144 | PA      | $533809.63    | 0.07%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 4% 03/20/2047#784299                                                                | CUSIP: 3622A2X49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10202 | PA      | $9508.62      | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                     | J P MORGAN CHASE COML MTG SECS TR 2018-WPT 4.248% 07/05/2033 144A                           | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59000 | PA      | $55913.39     | 0.01%             | 2033-07-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 2.5% 11/01/2031#ZS8629                                                            | CUSIP: 3132A9SS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129447 | PA      | $123923.26    | 0.02%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 11/01/2041#FS1573                                                            | CUSIP: 3140XGXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287693 | PA      | $252464.28    | 0.03%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIP TR 2024-2                                          | HPEFS EQUIP TR 2024-2 5.36% 10/20/2031 144A                                                 | CUSIP: 40444MAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $402649.20    | 0.06%             | 2031-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 09/01/2032#BM1884                                                              | CUSIP: 3140J6CW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10401 | PA      | $10048.31     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2021-1                               | TOWD POINT MORTGAGE TRUST 2021-1 VAR 11/25/2061 144A                                        | CUSIP: 89179YAR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1553603 | PA      | $1434116.81   | 0.20%             | 2061-11-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                    | BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A                                          | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77840 | PA      | $74107.89     | 0.01%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                         | US 5YR NOTE (CBT) FUT SEP25 FVU5                                                            | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      -159 | NC      | $-135671.12   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 10/01/2051#QC9772                                                            | CUSIP: 3133AU2D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12615 | PA      | $11197.30     | 0.00%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4.5% 07/01/2041#ZL1693                                                            | CUSIP: 3131XG3A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1479823 | PA      | $1453584.67   | 0.20%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                          | LCH OIS SOFRV3.25% MAC 06/18/30                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -2498000 | NC      | $-2003.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                    | UNITED STATES TREASURY BOND 4.625% 02/15/2055                                               | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    410000 | PA      | $391091.09    | 0.05%             | 2055-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C9 MTG TR                                            | BMO 2025-5C9 MTG TR 5.7785% 04/15/2058                                                      | CUSIP: 096933AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7400000 | PA      | $7669372.58   | 1.05%             | 2058-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 07/01/2055 #TBA                                                                | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11350000 | PA      | $10098538.79  | 1.38%             | 2055-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5.5% 01/01/2055#SL0307                                                            | CUSIP: 31427MKV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1656340 | PA      | $1662000.51   | 0.23%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 04/01/2052#FS5385                                                            | CUSIP: 3140XL6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208900 | PA      | $172961.32    | 0.02%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 04/01/2052#RA7122                                                            | CUSIP: 3133KN4F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22463 | PA      | $20051.03     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK13                                                | BANK 2018-BN13 A5 4.217% 08/15/2061                                                         | CUSIP: 06539LBB5<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $686956.48    | 0.09%             | 2061-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 03/01/2052#CB3037                                                              | CUSIP: 3140QNLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263860 | PA      | $207376.13    | 0.03%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 09/01/2042#ZS3589                                                            | CUSIP: 3132A37A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    242225 | PA      | $224175.35    | 0.03%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7                        | CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7 3.5853% 12/10/2054                                  | CUSIP: 12532BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    439884 | PA      | $431904.90    | 0.06%             | 2054-12-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                   | ARI FLEET LEASE TRUST 2025-A 4.38% 01/17/2034 144A                                          | CUSIP: 04033CAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    160000 | PA      | $159248.21    | 0.02%             | 2034-01-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                            | GSCOFI SWAP CY885799 12/15/56 S                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    700000 | NC      | $-12255.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                        | FHLM 30YR 6% 06/01/2053#RA9277                                                              | CUSIP: 3133KRJW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    411440 | PA      | $419513.72    | 0.06%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 12/01/2048#BM5106                                                            | CUSIP: 3140J9U82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37240 | PA      | $35748.18     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 06/01/2047#ZM3411                                                              | CUSIP: 3131XWYG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98713 | PA      | $92156.27     | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                        | FHLM 30YR 6% 09/01/2053#RA9856                                                              | CUSIP: 3133KR5R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    530860 | PA      | $541277.35    | 0.07%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR 2025-X1                         | AFFIRM ASSET SECURITIZATION TR 2025-X1 A 5.24% 04/15/2030 144A                              | CUSIP: 00834MAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    720000 | PA      | $719846.28    | 0.10%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                                 | FORD CR FLOORPLN MAST OWN TR A 5.29% 04/15/2029 144A                                        | CUSIP: 34528QJA3<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |   2500000 | PA      | $2535604.25   | 0.35%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP REC 3.87 11/07/29                                                                 | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |   3100000 | NC      | $103576.80    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY873248 04/17/65 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     30000 | NC      | $5114.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 03/01/2051#SD2903                                                              | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    473249 | PA      | $371350.24    | 0.05%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5% 09/01/2052#BW8697                                                              | CUSIP: 3140N1UX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16531 | PA      | $16327.59     | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF2 LLC                                             | PRPM 2023-RCF2 LLC 4% 11/25/2053 144A                                                       | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    449440 | PA      | $438044.37    | 0.06%             | 2053-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 02/01/2052#RA6823                                                              | CUSIP: 3133KNSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2525457 | PA      | $1984840.67   | 0.27%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                              | CUSIP: 3137H5J57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    129556 | PA      | $114245.73    | 0.02%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3.5% 11/01/2033#G16677                                                            | CUSIP: 3128MFUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19144 | PA      | $18530.93     | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 08/42#Q10245                                                                 | CUSIP: 3132HLHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9575 | PA      | $8872.90      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 11/01/2050#SD7530                                                            | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2266097 | PA      | $1878366.59   | 0.26%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                             | AVIS BUDGET RENTCAR FDG AE LLC 5.12% 08/20/2031 144A                                        | CUSIP: 05377RKQ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |    595000 | PA      | $596713.48    | 0.08%             | 2031-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 08/01/2045#AL7231                                                            | CUSIP: 3138EQA93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7799 | PA      | $7147.11      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C46                               | WELLS FARGO COML MTG TR 2018-C46 XA CSTR 08/15/2051                                         | CUSIP: 95001QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    854120 | PA      | $16474.19     | 0.00%             | 2051-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 10/01/2033#BM5832                                                              | CUSIP: 3140JAPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63663 | PA      | $61338.05     | 0.01%             | 2033-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK25                                                | BANK 20-BNK25 XB CSTR 01/15/2063                                                            | CUSIP: 06539WBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $36259.40     | 0.00%             | 2063-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 10/01/2048#CA2432                                                            | CUSIP: 3140Q9V26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570859 | PA      | $547815.52    | 0.08%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 10/01/2051#FM9049                                                              | CUSIP: 3140XDBT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2642221 | PA      | $2278560.04   | 0.31%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 10/01/2051#RA5998                                                              | CUSIP: 3133KMUX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    721174 | PA      | $620788.54    | 0.09%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2.5% 11/01/2041#SC0210                                                            | CUSIP: 3132D9GT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1580651 | PA      | $1388415.46   | 0.19%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 06/01/2055 #TBA                                                                | CUSIP: 21H032662<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -11350000 | PA      | $-10102529.45 | -1.38%            | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 6% 11/01/2053#RJ0189                                                              | CUSIP: 3142GQF72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257624 | PA      | $262518.58    | 0.04%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 1.5% 11/01/2035#QN4142                                                            | CUSIP: 3133GAS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57424 | PA      | $50647.77     | 0.01%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 2.5% 12/20/2051#785805                                                              | CUSIP: 3622ABKS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    905384 | PA      | $752338.12    | 0.10%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-FLWR                                             | SREIT TR 2021-FLWR TSFR1M+69.103 66 07/15/2036 144A                                         | CUSIP: 78485GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161375 | PA      | $161274.27    | 0.02%             | 2036-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                        | MNGT SWAP CY873248 04/17/65 B                                                               | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    110000 | NC      | $18754.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 11/01/2052#CB5124                                                            | CUSIP: 3140QQVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1167752 | PA      | $1105561.19   | 0.15%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2.5% 08/20/2047#MA4650                                                              | CUSIP: 36179TEX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13207 | PA      | $11258.85     | 0.00%             | 2047-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 11/01/2051#FM9568                                                              | CUSIP: 3140XDT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1884248 | PA      | $1491492.28   | 0.20%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 06/01/2036#BR2059                                                            | CUSIP: 3140L0JD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49190 | PA      | $43247.23     | 0.01%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 05/01/2052#CB3509                                                              | CUSIP: 3140QN3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3398764 | PA      | $3149905.87   | 0.43%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 08/01/2049#FS4660                                                            | CUSIP: 3140XLFA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2039538 | PA      | $1840920.60   | 0.25%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DLLAD 2023-1A                                                  | DLLAD 2023-1A 4.79% 01/20/2028 144A                                                         | CUSIP: 233258AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    466148 | PA      | $466840.82    | 0.06%             | 2028-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-B                 | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-B 5.41% 05/17/2027 144A                        | CUSIP: 44934FAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    453000 | PA      | $456645.61    | 0.06%             | 2027-05-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-3AL                                        | ACHV ABS TRUST 2024-3AL 5.01% 12/26/2031 144A                                               | CUSIP: 00092KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     58308 | PA      | $58232.74     | 0.01%             | 2031-12-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 10/01/2047#ZM4388                                                            | CUSIP: 3131XX2V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7457 | PA      | $6787.02      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 03/01/2052#FS0840                                                              | CUSIP: 3140XF5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364236 | PA      | $312966.31    | 0.04%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                        | FHLM 30YR 5% 08/01/2053#RA9615                                                              | CUSIP: 3133KRVG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    358414 | PA      | $348935.29    | 0.05%             | 2053-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 12/01/2051#CB2420                                                              | CUSIP: 3140QMVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330041 | PA      | $284306.36    | 0.04%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LN EXTD NT TR 2021-1                               | TOYOTA AUTO LN EXTD NT TR 2021-1 1.07% 02/27/2034 144A                                      | CUSIP: 89237MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1800000 | PA      | $1754863.74   | 0.24%             | 2034-02-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 1.5% 03/01/2051#QC0031                                                            | CUSIP: 3133AJA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18869 | PA      | $14127.63     | 0.00%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 5% 11/20/2054#MB0025                                                                | CUSIP: 3618N5A33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8576953 | PA      | $8326493.47   | 1.14%             | 2054-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 06/01/2051#CB0850                                                              | CUSIP: 3140QK5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    847999 | PA      | $729827.40    | 0.10%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5% 12/01/2052#SD2175                                                              | CUSIP: 3132DPMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166379 | PA      | $162928.18    | 0.02%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 11/01/2051#QD1240                                                              | CUSIP: 3133AXLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91895 | PA      | $78959.73     | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C3                                        | UBS COML MTG TR 2017-C3 3.215% 08/15/2050                                                   | CUSIP: 90276GAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    611751 | PA      | $602762.40    | 0.08%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 2.5% 11/25/2047                                              | CUSIP: 3136BLRR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    690309 | PA      | $610999.46    | 0.08%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                       | BX TRUST 0.8% 06/15/2023 144A                                                               | CUSIP: 05608WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    591798 | PA      | $591428.15    | 0.08%             | 2038-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 02/01/2050#CA5122                                                              | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204093 | PA      | $176735.98    | 0.02%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 4.5% 06/01/2055 #TBA                                                              | CUSIP: 01F042665<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9825000 | PA      | $9270813.02   | 1.27%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 3.5% 06/01/2055 #TBA                                                              | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -8700000 | PA      | $-7717167.96  | -1.06%            | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B31 MORTGAGE TRUST                              | BENCHMARK 2021-B31 MORTGAGE TRUST 2.669% 12/15/2054                                         | CUSIP: 08163MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $172730.08    | 0.02%             | 2054-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 12/01/2040#FM5042                                                              | CUSIP: 3140X8S81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127378 | PA      | $108926.22    | 0.01%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                         | BX COMMERCIAL MORTGAGE TRUST 2021-VINO A TSFR1M+76.681 82 05/15/2038 144A                   | CUSIP: 05608KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69580 | PA      | $69536.74     | 0.01%             | 2038-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                                 | FORD CR FLOORPLN MAST OWN TR A 4.92% 05/15/2028 144A                                        | CUSIP: 34528QHV9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |   2589000 | PA      | $2597167.78   | 0.36%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2.5% 06/20/2051#MA7418                                                              | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1768145 | PA      | $1483072.77   | 0.20%             | 2051-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 6% 12/20/2054#MB0093                                                                | CUSIP: 3618N5C72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2660756 | PA      | $2691128.69   | 0.37%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY885799 12/15/56 S                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   2400000 | NC      | $-42017.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MSRM 2025-NQM3                                                 | MSRM 2025-NQM3 VAR 05/25/2070 144A                                                          | CUSIP: 61778LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1152000 | PA      | $1153209.02   | 0.16%             | 2070-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 02/01/2033#SB0621                                                              | CUSIP: 3132CWVN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31321 | PA      | $30459.34     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 04/01/2047#SD0978                                                            | CUSIP: 3132DNCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    449510 | PA      | $373019.66    | 0.05%             | 2047-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                          | BOAM SWAP PAY 4.065 05/02/30                                                                | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3470000 | NC      | $141464.34    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 02/01/2050#FM2439                                                              | CUSIP: 3140X5V91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    749074 | PA      | $650071.83    | 0.09%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 3% 06/01/2038#FM5783                                                              | CUSIP: 3140X9M93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77354 | PA      | $72762.36     | 0.01%             | 2038-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF3 LLC                                             | PRPM 2024-RCF3 LLC 4% 05/25/2054 144A                                                       | CUSIP: 74390BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    672278 | PA      | $654071.62    | 0.09%             | 2054-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII 15YR 3% 01/20/2032#MA4170                                                              | CUSIP: 36179ST31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205678 | PA      | $198977.41    | 0.03%             | 2032-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6.5% 06/01/2054#CB8729                                                            | CUSIP: 3140QUVX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    588551 | PA      | $605025.32    | 0.08%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 3.303% 11/25/2027                                            | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $880374.15    | 0.12%             | 2027-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 2.25% 11/25/2047                                             | CUSIP: 3136BLHG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    757927 | PA      | $662719.77    | 0.09%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 03/01/2041#MA4287                                                              | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149360 | PA      | $126826.43    | 0.02%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 2.5% 06/25/2049                                              | CUSIP: 3136BKND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    713813 | PA      | $611775.89    | 0.08%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 04/01/2036#FM9743                                                            | CUSIP: 3140XDZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152760 | PA      | $146242.20    | 0.02%             | 2036-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                                       | CUSIP: 3137HJEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    589043 | PA      | $587333.93    | 0.08%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CY885802 12/15/56 B                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $13019.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2020-GC45                                       | GS MTG SECS TR 2020-GC45 2.8428% 02/13/2053                                                 | CUSIP: 36258YBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278941 | PA      | $268277.82    | 0.04%             | 2053-02-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 05/36#MA4328                                                                 | CUSIP: 31418DY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24376 | PA      | $21469.41     | 0.00%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 02/01/2052#CB2906                                                            | CUSIP: 3140QNGQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159409 | PA      | $142540.29    | 0.02%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 2.5% 06/25/2049                                              | CUSIP: 3137H5J24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    172528 | PA      | $147805.10    | 0.02%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 11/01/2051#RA6239                                                              | CUSIP: 3133KM4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    358123 | PA      | $282803.82    | 0.04%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 09/01/2049#FM1534                                                            | CUSIP: 3140X4V45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    583480 | PA      | $559927.40    | 0.08%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 05/01/2052#RA7312                                                            | CUSIP: 3133KPDR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    753044 | PA      | $675239.00    | 0.09%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5.5% 10/01/2054#CB9365                                                            | CUSIP: 3140QVMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1165519 | PA      | $1156754.12   | 0.16%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2020-2                               | RMF BUYOUT ISSUANCE TRUST 2020-2 1.7188% 10/25/2050 144A                                    | CUSIP: 76971EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    175292 | PA      | $161841.26    | 0.02%             | 2050-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HILTON USA TR 2016-HHV                                         | HILTON USA TR 2016-HHV B CSTR 11/05/2038 144A                                               | CUSIP: 43300LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    446000 | PA      | $438688.19    | 0.06%             | 2038-11-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 4% 06/01/2055 #TBA                                                                | CUSIP: 01F040669<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -4100000 | PA      | $-3759185.45  | -0.52%            | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 05/01/2042#RB0806                                                            | CUSIP: 3133KT3P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19790 | PA      | $17324.87     | 0.00%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 05/01/2051#CB0388                                                            | CUSIP: 3140QKNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    858115 | PA      | $707268.78    | 0.10%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                             | AVIS BUDGET RENTCAR FDG AE LLC 4.8% 08/20/2029 144A                                         | CUSIP: 05377RKL7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |    205000 | PA      | $205216.11    | 0.03%             | 2029-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD6 MTG TR                                             | CD 2017-CD6 ASB MTG TR 3.332% 11/13/2050                                                    | CUSIP: 125039AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    889328 | PA      | $875405.47    | 0.12%             | 2050-11-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 1.5% 02/01/2036#SB8088                                                            | CUSIP: 3132D56Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42789 | PA      | $37740.10     | 0.01%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5.5% 10/01/2053#SD8367                                                            | CUSIP: 3132DWJL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46774 | PA      | $46407.38     | 0.01%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 11/01/2041#BQ6743                                                              | CUSIP: 3140KSP50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    814623 | PA      | $686967.95    | 0.09%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALA TRUST 2025-OANA                                            | ALA TRUST 2025-OANA A 6.04263% 06/15/2030 144A                                              | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1580000 | PA      | $1586617.36   | 0.22%             | 2030-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C12                         | UBS COMMERCIAL MORTGAGE TRUST 2018-C12 ASB 4.1945% 08/15/2051                               | CUSIP: 90353DAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1309087 | PA      | $1300522.35   | 0.18%             | 2051-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2% 02/20/2052#MA7880                                                                | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17087965 | PA      | $13734874.25  | 1.88%             | 2052-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                 | FHLMC REMI 30YR 6% 03/01/2055#RJ3645                                                        | CUSIP: 3142GUBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    605499 | PA      | $618752.47    | 0.08%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                            | GSCOFI SWAP CZ030007 12/17/57 B                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    200000 | NC      | $25504.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 11/01/2051#                                                                  | CUSIP: 3132DWCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117999 | PA      | $96592.41     | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                        | FHLM 30YR 6.5% 11/01/2054#RJ2828                                                            | CUSIP: 3142GTEA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    261376 | PA      | $272939.76    | 0.04%             | 2054-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 3.5% 12/20/2049#BR8987                                                              | CUSIP: 3617M76Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2559 | PA      | $2289.06      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 5182 A 2.5% 10/25/2048                                       | CUSIP: 3137H5BQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   1827643 | PA      | $1586434.83   | 0.22%             | 2048-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY873248 04/17/65 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     10000 | NC      | $1704.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 04/01/2052#CB3239                                                              | CUSIP: 3140QNS52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1053564 | PA      | $912342.84    | 0.13%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 3.5% 10/01/2034#C91793                                                            | CUSIP: 3128P77E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    584711 | PA      | $566216.61    | 0.08%             | 2034-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2.5% 06/01/2055 #TBA                                                                | CUSIP: 21H022663<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19000000 | PA      | $15922647.90  | 2.18%             | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                         | GSCM SWAP REC 3.1415 09/15/2025                                                             | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   2400000 | NC      | $6625.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 11/01/2051#FM9539                                                              | CUSIP: 3140XDS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1197398 | PA      | $945565.18    | 0.13%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.5% 03/20/2055#MB0257                                                              | CUSIP: 3618N5JB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    999999 | PA      | $944266.81    | 0.13%             | 2055-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2021                                | BINOM SECURITIZATION TRUST 2022-RPL1 A1 2.9359% 02/25/2061 144A                             | CUSIP: 05552CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    262783 | PA      | $241057.20    | 0.03%             | 2061-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1    | GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 4.49% 04/16/2029 144A           | CUSIP: 39154GAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $498918.00    | 0.07%             | 2029-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.0% 07/20/2044#MA2074                                                              | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29896 | PA      | $28387.90     | 0.00%             | 2044-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 03/01/2050#SD0517                                                              | CUSIP: 3132DMSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    624072 | PA      | $538275.12    | 0.07%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2.5% 11/01/2041#QK1167                                                            | CUSIP: 3133D4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96085 | PA      | $84431.13     | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB15 LLC                                             | CFMT 2024-HB15 LLC VAR 08/25/2034 144A                                                      | CUSIP: 15723AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     77321 | PA      | $76497.31     | 0.01%             | 2034-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 01/01/2036#MA4228                                                            | CUSIP: 31418DVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1048155 | PA      | $924468.31    | 0.13%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD         | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 2.5% 07/25/2048                      | CUSIP: 3137H3QP0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    198911 | PA      | $172475.12    | 0.02%             | 2048-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                            | GSCOFI SWAP 12/15/56 S                                                                      | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    300000 | NC      | $-5252.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 3.6% 01/25/2028                                              | CUSIP: 3137F4D41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2300000 | PA      | $2262098.76   | 0.31%             | 2028-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-LBA                                                    | BX 2021-LBA TSFR1M+91.45 02/15/2036 144A                                                    | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282000 | PA      | $281823.75    | 0.04%             | 2036-02-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 05/01/2051#RA5267                                                              | CUSIP: 3133KLZ83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    214444 | PA      | $184627.27    | 0.03%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 3% 10/36#MA2773                                                                   | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2930032 | PA      | $2747883.43   | 0.38%             | 2036-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 3.5% 12/49#BR8986                                                                   | CUSIP: 3617M76X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       975 | PA      | $866.35       | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2022                                                 | BPR TRUST 2022 TSFR1M+229.667 04/15/2024 144A                                               | CUSIP: 05592DAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54000 | PA      | $53966.26     | 0.01%             | 2037-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 05/48#ZA5379                                                                   | CUSIP: 31329N6Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98936 | PA      | $92210.08     | 0.01%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H4 MTG TR                                           | CROSS 2025-H4 MTG TR A1 VAR 06/25/2070 144A                                                 | CUSIP: 22790AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    700000 | PA      | $701041.11    | 0.10%             | 2070-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6% 11/01/2054#CB9500                                                              | CUSIP: 3140QVRW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189248 | PA      | $194085.55    | 0.03%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 1.5% 03/01/2041#MA4286                                                            | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120879 | PA      | $99571.86     | 0.01%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 01/01/2051#FM7484                                                            | CUSIP: 3140XBJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1879930 | PA      | $1563560.41   | 0.21%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 07/01/2033#                                                                    | CUSIP: 3140JAUL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37300 | PA      | $36013.93     | 0.00%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CY885802 12/15/56 B                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    300000 | NC      | $39057.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CAMB COML MTG TR 2019-LIFE                                     | CAMB COML MTG TR 2019-LIFE A TSFR1M+118.448 12/15/2037 144A                                 | CUSIP: 12482HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    652000 | PA      | $651592.50    | 0.09%             | 2037-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6% 09/01/2053#CB7123                                                              | CUSIP: 3140QS4H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390199 | PA      | $397856.09    | 0.05%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5.5% 10/01/2054#RJ2653                                                            | CUSIP: 3142GS5P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1039458 | PA      | $1038462.46   | 0.14%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                         | US LONG BOND(CBT) FUT SEP25 USU5                                                            | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        11 | NC      | $29766.99     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-4 LLC                          | ENTERPRISE FLEET FINANCING 2024-4 LLC 4.56% 11/20/2028 144A                                 | CUSIP: 29374MAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    361000 | PA      | $361497.71    | 0.05%             | 2028-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY885799 12/15/56 S                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     10000 | NC      | $-175.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 6.5% 02/01/2054#SD5078                                                            | CUSIP: 3132DSUB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3882635 | PA      | $4023468.19   | 0.55%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TR 2024-A                             | HYUNDAI AUTO RECEIVABLES TR 2024-A 4.99% 02/15/2029                                         | CUSIP: 448973AD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    268000 | PA      | $269966.34    | 0.04%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 2% 07/25/2050                                                | CUSIP: 3137FUAS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    931976 | PA      | $781315.73    | 0.11%             | 2050-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 03/01/2052#FS7527                                                              | CUSIP: 3140XPLH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471823 | PA      | $372738.52    | 0.05%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 11/01/2050#MA4184                                                              | CUSIP: 31418DUJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97328 | PA      | $83765.34     | 0.01%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 08/01/2047#ZM4038                                                            | CUSIP: 3131XXPX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22111 | PA      | $20123.35     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6% 06/01/2054#CB8711                                                              | CUSIP: 3140QUVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1819866 | PA      | $1841928.87   | 0.25%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 3% 08/01/2038#FM8189                                                              | CUSIP: 3140XCC30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12146 | PA      | $11497.41     | 0.00%             | 2038-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2017-GS6                                        | GS MTG SECS TR 2017-GS6 3.164% 05/10/2050                                                   | CUSIP: 36253PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184774 | PA      | $179080.22    | 0.02%             | 2050-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6% 08/01/2054#CB9061                                                              | CUSIP: 3140QVB78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1927343 | PA      | $1950106.02   | 0.27%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 01/01/2040#MA3889                                                            | CUSIP: 31418DKB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27305 | PA      | $24239.88     | 0.00%             | 2040-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES 2025-1 LLC                          | PEAC SOLUTIONS RECEIVABLES 2025-1 LLC 4.94% 10/20/2028 144A                                 | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    265000 | PA      | $265327.78    | 0.04%             | 2028-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 02/01/2042#FS1810                                                            | CUSIP: 3140XHAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218825 | PA      | $192080.10    | 0.03%             | 2042-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 02/01/2035#                                                                    | CUSIP: 3140XC4X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43868 | PA      | $42661.41     | 0.01%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AUTONATION FINANCE TRUST 2025-1                                | AUTONATION FINANCE TRUST 2025-1 4.72% 04/10/2028 144A                                       | CUSIP: 05330QAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    315000 | PA      | $315070.25    | 0.04%             | 2028-04-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS              | GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046                                     | CUSIP: 38379WN73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     17461 | PA      | $15912.58     | 0.00%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                        | MNGT SWAP CZ030007 12/17/57 B                                                               | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $12752.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 07/51#QC4163                                                                   | CUSIP: 3133ANTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93644 | PA      | $73948.71     | 0.01%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC21 MTG TR                                          | COMM 2015-LC21 A4 3.708% 07/10/2048                                                         | CUSIP: 12593FBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86119 | PA      | $86004.24     | 0.01%             | 2048-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII 15YR 3% 08/20/2031#MA3850                                                              | CUSIP: 36179SH34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21695 | PA      | $21021.61     | 0.00%             | 2031-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6% 11/01/2054#CB9502                                                              | CUSIP: 3140QVRY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1286809 | PA      | $1316885.96   | 0.18%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 03/01/2033#BK4845                                                              | CUSIP: 3140HJL33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21541 | PA      | $20811.36     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 3% 07/01/2036#MA2672                                                              | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82962 | PA      | $78038.00     | 0.01%             | 2036-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 2% 06/25/2046                                                | CUSIP: 3136BASY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    555314 | PA      | $484392.91    | 0.07%             | 2046-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2                              | ENTERPRISE FLEET FINANCING 2024-2 5.74% 12/20/2026 144A                                     | CUSIP: 29375RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    191413 | PA      | $192246.60    | 0.03%             | 2026-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 03/01/2052#CB3036                                                              | CUSIP: 3140QNLS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269999 | PA      | $213213.42    | 0.03%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.5% 11/20/2054#MB0024                                                              | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3553349 | PA      | $3355312.51   | 0.46%             | 2054-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5.5% 06/01/2053#CB6636                                                            | CUSIP: 3140QSLS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    639699 | PA      | $639085.98    | 0.09%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4% 08/20/2048#MA5398                                                                | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    316036 | PA      | $293758.39    | 0.04%             | 2048-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V9 MORTGAGE TRUST                               | BENCHMARK 2024-V9 MORTGAGE TRUST 5.6019% 08/15/2057                                         | CUSIP: 081919AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $924177.15    | 0.13%             | 2057-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5% 07/01/2053#BY4776                                                              | CUSIP: 3140NMJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297668 | PA      | $288527.19    | 0.04%             | 2053-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 02/01/2031#FS1234                                                              | CUSIP: 3140XGLQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111189 | PA      | $108377.85    | 0.01%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 05/01/2041#CB0471                                                            | CUSIP: 3140QKQZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112774 | PA      | $99496.58     | 0.01%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK14                                                | BANK 2018-BNK14 4.231% 09/15/2060                                                           | CUSIP: 06035RAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $589521.90    | 0.08%             | 2060-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                       | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 24-DPM A TSFR1M+139.27 12/15/2039 144A            | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    528000 | PA      | $527834.21    | 0.07%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 05/50#FM3269                                                                   | CUSIP: 3140X6T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35683 | PA      | $30899.59     | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 03/01/2041#CA9362                                                            | CUSIP: 3140QHML6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126963 | PA      | $112318.21    | 0.02%             | 2041-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 12/01/2051#QD3433                                                              | CUSIP: 3133B0Y64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116298 | PA      | $91838.45     | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                          | BOAM SWAP REC 4.025 04/23/30                                                                | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2610000 | NC      | $96015.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 02/01/2052#RA6799                                                            | CUSIP: 3133KNRU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138575 | PA      | $124083.83    | 0.02%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCWEN LN INVT TR 2023-HB1                                      | OCWEN LN INVT TR 2023-HB1 A 3% 06/25/2036 144A                                              | CUSIP: 67578KAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21403 | PA      | $21121.84     | 0.00%             | 2036-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 02/01/2052#RA6913                                                              | CUSIP: 3133KNVE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    293824 | PA      | $229181.10    | 0.03%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2.5% 06/01/2055 #TBA                                                                | CUSIP: 21H022663<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -9250000 | PA      | $-7751815.43  | -1.06%            | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 11/01/2051#RA6241                                                              | CUSIP: 3133KM5A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1736294 | PA      | $1365153.67   | 0.19%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 04/01/2052#FS1647                                                              | CUSIP: 3140XGZM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    628358 | PA      | $582545.86    | 0.08%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSAIL 2016-C7 COML MTG TR                                      | CSAIL 2016-C7 COML MTG TR 3.3143% 11/15/2049                                                | CUSIP: 12637UAX7<br>LEI: 5493006MX7HG5PC85C29 | Long             | ABS-MBS          | CORP              | US        |     19218 | PA      | $19175.53     | 0.00%             | 2049-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2.5% 10/01/2041#RB5132                                                            | CUSIP: 3133KYVZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    303298 | PA      | $265209.41    | 0.04%             | 2041-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3.5% 08/01/2034#CA4087                                                            | CUSIP: 3140QBRH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66542 | PA      | $64286.53     | 0.01%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 08/01/2036#                                                                  | CUSIP: 31418D3L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49630 | PA      | $43634.16     | 0.01%             | 2036-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 5.5% 03/20/2054#787292                                                              | CUSIP: 3622AC7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1297478 | PA      | $1297099.63   | 0.18%             | 2054-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8                        | CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8 A3 3.3048% 06/15/2050                               | CUSIP: 12532CAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    694202 | PA      | $674654.56    | 0.09%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5.5% 04/01/2054#CB8330                                                            | CUSIP: 3140QUHG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3774763 | PA      | $3748735.15   | 0.51%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 06/01/2050#RA2677                                                              | CUSIP: 3133KH6N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1388917 | PA      | $1098106.81   | 0.15%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                          | BOAM SWAP REC 4.01 05/07/30                                                                 | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2810000 | NC      | $102663.69    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 1.5% 06/01/2051#CB0788                                                            | CUSIP: 3140QK2W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159878 | PA      | $119703.32    | 0.02%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2.5% 07/20/2054#MA9773                                                              | CUSIP: 36179Y2E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    548274 | PA      | $459491.92    | 0.06%             | 2054-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 2.5% 06/25/2049                                              | CUSIP: 3137H4HQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    197596 | PA      | $168946.14    | 0.02%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.0% 06/20/2045#MA2893                                                              | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    544225 | PA      | $515672.70    | 0.07%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5% 10/01/2052#SD1733                                                              | CUSIP: 3132DN4S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    889406 | PA      | $871235.28    | 0.12%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 6% 06/01/2055 #TBA                                                                | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  34050000 | PA      | $34391831.36  | 4.71%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2.5% 10/01/2040#SC0081                                                            | CUSIP: 3132D9CS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    566749 | PA      | $500450.71    | 0.07%             | 2040-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 11/01/2041#FM9585                                                            | CUSIP: 3140XDUK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95230 | PA      | $83572.67     | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CY885799 12/15/56 S                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     90000 | NC      | $-1575.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 2.5% 05/01/2035#SB8045                                                            | CUSIP: 3132D55E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    450758 | PA      | $420401.65    | 0.06%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 07/01/2042#ZA1228                                                            | CUSIP: 31329JLH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    414547 | PA      | $383934.19    | 0.05%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 12/01/2051#FS0002                                                              | CUSIP: 3140XFAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272496 | PA      | $234139.82    | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 07/01/2047#ZA4926                                                            | CUSIP: 31329NPK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125273 | PA      | $114013.08    | 0.02%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 2.5% 06/01/2031#J34501                                                            | CUSIP: 31307RAA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8484 | PA      | $8157.20      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 03/01/2047#FM1187                                                              | CUSIP: 3140X4J98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215399 | PA      | $201629.59    | 0.03%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 11/01/2051#CB2166                                                              | CUSIP: 3140QMMQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621603 | PA      | $534300.29    | 0.07%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 06/01/2050#SD7518                                                              | CUSIP: 3132DVK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    368268 | PA      | $319595.43    | 0.04%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 4.5% 07/01/2055 #TBA                                                              | CUSIP: 01F042673<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12225000 | PA      | $11530664.01  | 1.58%             | 2055-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 06/01/2036#MA4359                                                            | CUSIP: 31418DZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48012 | PA      | $42286.67     | 0.01%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY885799 12/15/56 S                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    200000 | NC      | $-3501.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD         | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5159 GC 2% 11/25/2047                | CUSIP: 3137H3SE3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    219393 | PA      | $188790.18    | 0.03%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2017-HR2                               | MORGAN STANLEY CAPITAL I INC 3.587% 12/15/2050                                              | CUSIP: 61691NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $329542.25    | 0.05%             | 2050-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2                  | SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2 5.33% 11/20/2029 144A                         | CUSIP: 78397XAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    147000 | PA      | $148552.51    | 0.02%             | 2029-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 04/01/2041#CB0116                                                              | CUSIP: 3140QKDW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47936 | PA      | $40930.48     | 0.01%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MSC 2021-L6                                                    | MSC 2021-L6 XA 1.35631% 06/15/2054                                                          | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    949194 | PA      | $41747.57     | 0.01%             | 2054-06-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNKS                                                 | BANK 2017-BNKS 3.39% 06/15/2060                                                             | CUSIP: 06541WAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $584204.64    | 0.08%             | 2060-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF6 LLC                                             | PRPM 2024-RCF6 A1 LLC VAR 10/25/2054 144A                                                   | CUSIP: 74390FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     90707 | PA      | $87705.67     | 0.01%             | 2054-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 08/01/2049#MA3744                                                              | CUSIP: 31418DES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1188544 | PA      | $1027744.41   | 0.14%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 6% 07/01/2055 #TBA                                                                  | CUSIP: 21H060671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31400000 | PA      | $31657144.02  | 4.34%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA GTD MTG PASS THRU CTF SOFR30A+120 06/25/2054                                           | CUSIP: 3136BUGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1017954 | PA      | $1013693.69   | 0.14%             | 2054-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 07/01/46#BC1443                                                                | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37223 | PA      | $34959.49     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY873248 04/17/65 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    160000 | NC      | $27279.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5.5% 02/01/2054#RJ0836                                                            | CUSIP: 3142GQ4W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120893 | PA      | $120134.55    | 0.02%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 03/01/2036#FM6804                                                            | CUSIP: 3140XAR20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16751 | PA      | $14753.67     | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 01/01/2052#CB2679                                                            | CUSIP: 3140QM6R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75982 | PA      | $68060.37     | 0.01%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                         | CARMAX SELECT RECEIVABLES TRUST 2024-A 5.4% 11/15/2028                                      | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     67000 | PA      | $67654.95     | 0.01%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 3.244% 08/25/2027                                            | CUSIP: 3137FBBX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $391384.88    | 0.05%             | 2027-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                    | UNITED STATES TREASURY BOND 4.625% 11/15/2044                                               | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10900000 | PA      | $10469109.38  | 1.43%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 12/01/2051#RA6434                                                            | CUSIP: 3133KNEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    945060 | PA      | $777748.72    | 0.11%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 5.5% 12/20/2054#787741                                                              | CUSIP: 3622ADP28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1288319 | PA      | $1289553.96   | 0.18%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.00% 1/41 #004922                                                                  | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39778 | PA      | $38129.43     | 0.01%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4.5% 04/01/2048#ZM6138                                                            | CUSIP: 3131Y0ZB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19326 | PA      | $18509.28     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 2.5% 02/25/2052                                              | CUSIP: 3136BLLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    135420 | PA      | $122751.03    | 0.02%             | 2052-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5% 11/01/2052#SD1862                                                              | CUSIP: 3132DPB72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    432539 | PA      | $424918.58    | 0.06%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 03/01/2047#FS0976                                                            | CUSIP: 3140XGCN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43880 | PA      | $36426.85     | 0.00%             | 2047-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2023-C21                                  | BBCMS MORTGAGE TRUST 2023-C21 A3 CSTR 09/15/2056                                            | CUSIP: 05553WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246000 | PA      | $261461.54    | 0.04%             | 2056-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 11/01/2051#CB2189                                                              | CUSIP: 3140QMNF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36576 | PA      | $34138.10     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-GRP                               | WELLS FARGO COML MTG TR 2024-GRP TSFR1M+229.06 10/15/2041 144A                              | CUSIP: 95003YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1104745.73   | 0.15%             | 2041-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING TRUST 2024-3                                   | OPORTUN FUNDING TRUST 2024-3 5.26% 08/15/2029 144A                                          | CUSIP: 68377NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    143212 | PA      | $143202.39    | 0.02%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 1.5% 02/01/2051#MA4254                                                            | CUSIP: 31418DWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    851242 | PA      | $629623.75    | 0.09%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5% 10/01/2052#BW9916                                                              | CUSIP: 3140N3AS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77620 | PA      | $75425.13     | 0.01%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4.5% 12/01/2048#G61821                                                            | CUSIP: 31335CAW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32888 | PA      | $31560.30     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B2 MTG TR                                       | BENCHMARK 2018-B2 MTG TR 3.7802% 02/15/2051                                                 | CUSIP: 08161CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175298 | PA      | $173423.16    | 0.02%             | 2051-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 6.5% 06/01/2054#SD5521                                                            | CUSIP: 3132DTD23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    270874 | PA      | $282159.31    | 0.04%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 4% 04/20/2048#BG3507                                                                | CUSIP: 3617GM3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10589 | PA      | $9816.31      | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 11/01/2051#QD1841                                                              | CUSIP: 3133AYBJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1684833 | PA      | $1314163.00   | 0.18%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 10/01/2031#AS8226                                                            | CUSIP: 3138WJD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151630 | PA      | $145166.07    | 0.02%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 04/01/2051#FM6540                                                            | CUSIP: 3140XAHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1629824 | PA      | $1358599.97   | 0.19%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 6.5% 09/01/2053#QH0277                                                            | CUSIP: 3133CCJW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173240 | PA      | $180024.42    | 0.02%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2019-GSA1                                       | GS MTG SECS TR 2019-GSA1 A4 3.0479% 11/10/2052                                              | CUSIP: 36261PAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $372801.68    | 0.05%             | 2052-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 3% 06/01/2055 #TBA                                                                | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5350000 | PA      | $4554184.83   | 0.62%             | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 12/01/2050#RA4142                                                            | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188663 | PA      | $156736.66    | 0.02%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                        | MNGT SWAP CY873248 04/17/65 B                                                               | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    160000 | NC      | $27279.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 02/01/2035#FM2518                                                            | CUSIP: 3140X5YQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117397 | PA      | $109748.10    | 0.02%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                         | US 10YR NOTE FUT (CBT)SEP25 TYU5                                                            | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -53 | NC      | $-65251.31    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6% 03/01/2055#CC0116                                                              | CUSIP: 3140Y6DW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2793142 | PA      | $2860390.37   | 0.39%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 3% 02/01/2036#MA2523                                                              | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76831 | PA      | $72534.75     | 0.01%             | 2036-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC                                      | CHESAPEAKE FUNDING II LLC 5.52% 05/15/2036 144A                                             | CUSIP: 165183DE1<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-CBDO         | CORP              | US        |    205216 | PA      | $207081.83    | 0.03%             | 2036-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 2% 06/01/2055 #TBA                                                                | CUSIP: 01F020661<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  83950000 | PA      | $65254721.17  | 8.94%             | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984                                                | CUSIP: 3617M76V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3392 | PA      | $3014.57      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 12/01/2034#FM0046                                                              | CUSIP: 3140X3BQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77269 | PA      | $73535.26     | 0.01%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 05/01/2051#RA5288                                                              | CUSIP: 3133KL2V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193406 | PA      | $151701.89    | 0.02%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST TSFR1M+77.15 04/15/2037 144A | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    976280 | PA      | $959194.69    | 0.13%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 05/01/2052#RA7311                                                            | CUSIP: 3133KPDQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1396202 | PA      | $1249763.46   | 0.17%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMX 2025-2                                                   | CARMX 2025-2 4.59% 07/17/2028                                                               | CUSIP: 14320AAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1010000 | PA      | $1010442.18   | 0.14%             | 2028-07-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TR 2023-B                          | WORLD OMNI AUTO RECEIVABLES TR 2023-B 4.66% 05/15/2028                                      | CUSIP: 98164QAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    206381 | PA      | $206445.66    | 0.03%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-4                                 | CARMAX AUTO OWNER TRUST 2024-4 4.6% 10/15/2029                                              | CUSIP: 14290DAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $301867.62    | 0.04%             | 2029-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                       | GS MTG SECS TR 2018-GS10 AAB 4.106% 07/10/2051                                              | CUSIP: 36250SAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125159 | PA      | $123751.08    | 0.02%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 03/01/2050#FM6195                                                              | CUSIP: 3140X93D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    533614 | PA      | $463588.55    | 0.06%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA GTD MTG PASS THRU CTF SOFR30A+140 02/25/2055                                           | CUSIP: 3136BUWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    773093 | PA      | $771457.46    | 0.11%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 5517 HF SOFR30A+135 03/25/2055                               | CUSIP: 3137HKGX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   1630855 | PA      | $1625011.87   | 0.22%             | 2055-03-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 06/01/2052#SD1082                                                              | CUSIP: 3132DNFX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    319177 | PA      | $273501.96    | 0.04%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 11/51#MA4468                                                                 | CUSIP: 31418D6E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66262 | PA      | $59104.80     | 0.01%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 5% 06/20/2048#MA5266                                                                | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    219589 | PA      | $216968.43    | 0.03%             | 2048-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021                     | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A TSFR1M+131.448 12/31/2049 144A            | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    845000 | PA      | $838713.28    | 0.11%             | 2031-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6.5% 07/01/2054#CB8867                                                            | CUSIP: 3140QUZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182985 | PA      | $190265.47    | 0.03%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 4% 04/20/2048#BG7744                                                                | CUSIP: 3617GSS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11544 | PA      | $10701.09     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5% 11/01/2052#CB5128                                                              | CUSIP: 3140QQVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    688699 | PA      | $676565.87    | 0.09%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 06/01/2051#FM7507                                                            | CUSIP: 3140XBKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1753948 | PA      | $1454394.53   | 0.20%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                        | FHLM 30YR 6% 07/01/2053#RA9383                                                              | CUSIP: 3133KRM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    375643 | PA      | $383014.47    | 0.05%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                     | FANNIE MAE 4.5% 07/25/2048                                                                  | CUSIP: 3136BM7C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    646307 | PA      | $635219.49    | 0.09%             | 2048-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 08/01/2047#ZA4942                                                            | CUSIP: 31329NP36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194502 | PA      | $177019.37    | 0.02%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TESLA AUTO LEASE TRUST 23-A                                    | TESLA AUTO LEASE TRUST 23-A 5.89% 06/22/2026 144A                                           | CUSIP: 88167PAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     70800 | PA      | $70894.53     | 0.01%             | 2026-06-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 1% 08/15/2038                                                | CUSIP: 3137FFWL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    421037 | PA      | $398219.45    | 0.05%             | 2038-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 2.745% 01/25/2026                                            | CUSIP: 3137BNGT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1055151 | PA      | $1042393.65   | 0.14%             | 2026-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 08/01/2047#ZM3810                                                            | CUSIP: 3131XXGT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15372 | PA      | $13990.29     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 12/01/2040#MA4204                                                              | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15220 | PA      | $12952.12     | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 12/01/2051#CB2460                                                              | CUSIP: 3140QMWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22944 | PA      | $21414.81     | 0.00%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 05/47#BH1302                                                                 | CUSIP: 3140GPNU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28855 | PA      | $26288.63     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 12/20/2043#MA1521                                                              | CUSIP: 36179NVN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2091 | PA      | $1919.45      | 0.00%             | 2043-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 03/01/2051#FM6560                                                              | CUSIP: 3140XAJE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17699 | PA      | $13882.82     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 05/01/2045#G61807                                                              | CUSIP: 31335CAG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10604 | PA      | $10111.80     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 12/01/2051#QD3432                                                              | CUSIP: 3133B0Y56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111175 | PA      | $87306.92     | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6.5% 03/01/2054#CB8113                                                            | CUSIP: 3140QUAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    660757 | PA      | $679097.42    | 0.09%             | 2054-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5% 10/01/2052#CB4893                                                              | CUSIP: 3140QQNK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1081545 | PA      | $1059448.81   | 0.15%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 4.5% 04/20/2053#MA8799                                                              | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1257478 | PA      | $1192111.68   | 0.16%             | 2053-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 11/01/2047#ZM4820                                                              | CUSIP: 3131XYK99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71019 | PA      | $61876.82     | 0.01%             | 2047-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 1.5% 03/01/2051#QC0226                                                            | CUSIP: 3133AJHB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    978805 | PA      | $725505.97    | 0.10%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2.5% 05/01/2041#SC0167                                                            | CUSIP: 3132D9FG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    219134 | PA      | $193274.32    | 0.03%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5% 06/01/2053#SD3196                                                              | CUSIP: 3132DQRR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    233512 | PA      | $230346.46    | 0.03%             | 2053-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CCUBS COML MTG TR 2017-C1                                      | CCUBS COML MTG TR 2017-C1 3.462% 11/15/2050                                                 | CUSIP: 12508GAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46977 | PA      | $46307.47     | 0.01%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 12/01/2032#SB0030                                                              | CUSIP: 3132CWA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30269 | PA      | $29332.91     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                 | CITI SWAP PAY 4.03 04/25/30                                                                 | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    400000 | NC      | $16474.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 4.50% 10/39 #G08368                                                                    | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22644 | PA      | $22317.55     | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 10/01/2031#AS8010                                                            | CUSIP: 3138WH3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9621 | PA      | $9218.90      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 04/01/2033#G18684                                                              | CUSIP: 3128MMXN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28637 | PA      | $27633.53     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2% 08/35#MA4095                                                                   | CUSIP: 31418DRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396316 | PA      | $361355.86    | 0.05%             | 2035-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 5210 AB 3% 01/25/2042                                        | CUSIP: 3137H6W84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    368657 | PA      | $341898.24    | 0.05%             | 2042-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6.5% 03/01/2055#CC0136                                                            | CUSIP: 3140Y6EJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1177594 | PA      | $1226379.77   | 0.17%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CY873248 04/17/65 B                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     10000 | NC      | $1704.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2% 06/01/2055 #TBA                                                                  | CUSIP: 21H020667<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -13200000 | PA      | $-10605231.12 | -1.45%            | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                 | CITI SWAP REC 4.01 12/20/29                                                                 | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2000000 | NC      | $72659.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AJAX MTG LN TR 2021-E                                          | AJAX MTG LN TR 2021-E 1.74% 12/25/2060 144A                                                 | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1126850 | PA      | $972090.49    | 0.13%             | 2060-12-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CY873248 04/17/65 B                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     20000 | NC      | $3409.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                            | GSCOFI SWAP CY885799 12/15/56 S                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    500000 | NC      | $-8753.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                         | US ULTRA BOND CBT FUT SEP25 WNU5                                                            | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -28 | NC      | $-81879.92    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 5.5% 12/20/2054#MB0092                                                              | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    396725 | PA      | $394222.80    | 0.05%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2021                                 | RMF BUYOUT ISSUANCE TRUST 2021 1.268% 11/25/2031 144A                                       | CUSIP: 74969TAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7729 | PA      | $7702.10      | 0.00%             | 2031-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H4                         | MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051                                     | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $589664.52    | 0.08%             | 2051-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                          | BOAM SWAP PAY 3.95 04/29/30                                                                 | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2150000 | NC      | $91812.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 22-56 FJ SOFR30A+80 09/25/2052                               | CUSIP: 3136BNY75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1904618 | PA      | $1846776.30   | 0.25%             | 2052-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 11/01/2051#RA6302                                                              | CUSIP: 3133KNAB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    937051 | PA      | $736459.85    | 0.10%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                 | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3704                                                      | CUSIP: 3142GUDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1057488 | PA      | $1101297.93   | 0.15%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 07/51#BQ1010                                                                   | CUSIP: 3140KLDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157125 | PA      | $123588.27    | 0.02%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 6% 07/01/2055 #TBA                                                                | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8750000 | PA      | $8826563.38   | 1.21%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5% 08/01/2053#MA5106                                                              | CUSIP: 31418EU81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67408 | PA      | $65393.71     | 0.01%             | 2053-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 6% 07/01/2055 #TBA                                                                | CUSIP: 01F060675<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -10300000 | PA      | $-10390126.03 | -1.42%            | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CR ACC MST TR                                 | AMERICAN EXPRESS CR ACC MST TR 4.87% 05/15/2028                                             | CUSIP: 02582JJZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    679000 | PA      | $681885.34    | 0.09%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 3% 06/01/2055 #TBA                                                                | CUSIP: 01F030660<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -2600000 | PA      | $-2213248.70  | -0.30%            | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-C                                   | SBNA AUTO LEASE TRUST 2024-C 4.56% 02/22/2028 144A                                          | CUSIP: 78398DAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    232000 | PA      | $231772.50    | 0.03%             | 2028-02-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 02/01/2041#                                                                    | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16220 | PA      | $13772.28     | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 5175 CB 2.5% 04/25/2050                                      | CUSIP: 3137H4N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   1383817 | PA      | $1185697.44   | 0.16%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 02/01/2033#MA3283                                                              | CUSIP: 31418CUH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31749 | PA      | $30610.95     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2.5% 01/01/2042#RB5142                                                            | CUSIP: 3133KYWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    619663 | PA      | $540725.33    | 0.07%             | 2042-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 2.5% 02/25/2046                                              | CUSIP: 3136ARGN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   3086025 | PA      | $2627984.14   | 0.36%             | 2046-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 12/01/2032#BM5109                                                              | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316952 | PA      | $307146.90    | 0.04%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 08/01/2041#FM8393                                                              | CUSIP: 3140XCKF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    514175 | PA      | $434000.85    | 0.06%             | 2041-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE24 MTG TR                                        | COMM 2015-CCRE24 MTG TR 3.696% 08/10/2055                                                   | CUSIP: 12593JBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    691064 | PA      | $689403.25    | 0.09%             | 2048-08-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5.5% 11/01/2054#SD6971                                                            | CUSIP: 3132DUW86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    977192 | PA      | $979309.70    | 0.13%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 04/01/2036#MA4302                                                            | CUSIP: 31418DX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45776 | PA      | $40316.87     | 0.01%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 02/01/2052#CB2765                                                              | CUSIP: 3140QNCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    671621 | PA      | $525960.57    | 0.07%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2.5% 12/20/2053#MA9356                                                              | CUSIP: 36179YMD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    586569 | PA      | $492639.71    | 0.07%             | 2053-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 02/01/2052#FS0898                                                              | CUSIP: 3140XF7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1407822 | PA      | $1209657.40   | 0.17%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 06/01/2048#ZM6780                                                              | CUSIP: 3131Y1Q94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    402202 | PA      | $374480.92    | 0.05%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 03/01/2050#FM3663                                                              | CUSIP: 3140X7B99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1693106 | PA      | $1571120.32   | 0.22%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 05/01/2051#CB0404                                                            | CUSIP: 3140QKNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4018090 | PA      | $3334359.56   | 0.46%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 07/01/2048#Q59935                                                              | CUSIP: 3132Y4BD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18610 | PA      | $17478.21     | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 11/01/2050#RA3913                                                            | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210201 | PA      | $174826.60    | 0.02%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 12/01/2030#ZS8591                                                              | CUSIP: 3132A9RL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32768 | PA      | $31827.51     | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2024-2                         | CITIZENS AUTO RECEIVABLES TRUST 2024-2 5.33% 08/15/2028 144A                                | CUSIP: 17331XAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    304000 | PA      | $305954.84    | 0.04%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 2.5% 09/20/2051#785619                                                              | CUSIP: 3622ABDY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    848611 | PA      | $705162.37    | 0.10%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5.5% 06/01/2053#CB6642                                                            | CUSIP: 3140QSLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137508 | PA      | $137720.08    | 0.02%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 12/01/2041#BU7091                                                              | CUSIP: 3140M82Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    429111 | PA      | $361309.30    | 0.05%             | 2041-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4.5% 10/01/2048#G67716                                                            | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    269438 | PA      | $259825.33    | 0.04%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 11/01/2034#FS1799                                                              | CUSIP: 3140XG7M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64229 | PA      | $62407.16     | 0.01%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 6% 01/20/2055#MB0148                                                                | CUSIP: 3618N5EW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1777838 | PA      | $1796466.15   | 0.25%             | 2055-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 03/01/2050#MA3964                                                            | CUSIP: 31418DMN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1305412 | PA      | $1077976.11   | 0.15%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 12/01/2032#FM1681                                                            | CUSIP: 3140X42P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2270411 | PA      | $2173522.33   | 0.30%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 06/01/2050#CA6106                                                              | CUSIP: 3140QDYC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1116578 | PA      | $1035083.22   | 0.14%             | 2050-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 08/01/2050#SD7523                                                            | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5337801 | PA      | $4432840.30   | 0.61%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 2.5% 06/01/2055 #TBA                                                              | CUSIP: 01F022667<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -10650000 | PA      | $-8679332.52  | -1.19%            | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 01/01/2052#                                                                  | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309803 | PA      | $276631.80    | 0.04%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 01/01/2052#CB2610                                                              | CUSIP: 3140QM3U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65964 | PA      | $51657.94     | 0.01%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 07/01/2036#MA4382                                                            | CUSIP: 31418D2Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34491 | PA      | $30324.06     | 0.00%             | 2036-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 11/01/2047#G08793                                                              | CUSIP: 3128MJ3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1018362 | PA      | $950366.06    | 0.13%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOFA AUTO TRUST 2025-1                                         | BOFA AUTO TRUST 2025-1 4.35% 11/20/2029 144A                                                | CUSIP: 05594BAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $499706.60    | 0.07%             | 2029-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AJAXM 2021-C                                                   | AJAXM 2021-C 5.115% 01/25/2061 144A                                                         | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    105703 | PA      | $105656.86    | 0.01%             | 2061-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 08/01/2047#BH6709                                                            | CUSIP: 3140GVN35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42949 | PA      | $39088.20     | 0.01%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 11/01/2035#BQ5806                                                            | CUSIP: 3140KRNY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    598045 | PA      | $527472.64    | 0.07%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5.5% 10/01/2052#CB4909                                                            | CUSIP: 3140QQN35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700846 | PA      | $700174.59    | 0.10%             | 2052-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-1                                  | CHASE AUTO OWNER TRUST 2024-1 5.13% 05/25/2029 144A                                         | CUSIP: 16144BAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    239000 | PA      | $240688.68    | 0.03%             | 2029-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 11/01/2041#MA4475                                                            | CUSIP: 31418D6M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413964 | PA      | $361743.74    | 0.05%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 04/01/2052#FS8772                                                            | CUSIP: 3140XQXA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    740515 | PA      | $609415.98    | 0.08%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 09/01/2042#ZL3774                                                            | CUSIP: 3131XKFP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    525074 | PA      | $485642.34    | 0.07%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 07/01/2041#CB1074                                                            | CUSIP: 3140QLFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116082 | PA      | $102218.34    | 0.01%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                        | BX COML MTG TR 2023-XL3 B TSFR1M+239.052 12/09/2040 144A                                    | CUSIP: 12434GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143202 | PA      | $143604.52    | 0.02%             | 2040-12-09      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 03/01/2052#CB3114                                                              | CUSIP: 3140QNN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1219973 | PA      | $1054159.45   | 0.14%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 6.5% 09/01/2054#SD6620                                                            | CUSIP: 3132DUK97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    321041 | PA      | $334617.05    | 0.05%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC                                      | CHESAPEAKE FUNDING II LLC 6.16% 10/15/2035 144A                                             | CUSIP: 165183CZ5<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-CBDO         | CORP              | US        |     92355 | PA      | $93472.10     | 0.01%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                        | FHLM 30YR 6.5% 02/01/2055#RJ3572                                                            | CUSIP: 3142GT6J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    653359 | PA      | $683080.83    | 0.09%             | 2055-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 21-66 DM 2% 01/25/2048                                       | CUSIP: 3136BG6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    289975 | PA      | $237153.33    | 0.03%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 07/01/2047#FS1789                                                            | CUSIP: 3140XG7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326914 | PA      | $302523.18    | 0.04%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 2.5% 09/25/2048                                              | CUSIP: 3136BKUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    478903 | PA      | $415722.51    | 0.06%             | 2048-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 10/01/2051#QC9148                                                            | CUSIP: 3133AUEV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500126 | PA      | $411584.97    | 0.06%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 6.5% 01/01/2054#SD4623                                                            | CUSIP: 3132DSD41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    903550 | PA      | $936324.10    | 0.13%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 1.5% 03/01/2041#RB5104                                                            | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121313 | PA      | $99909.64     | 0.01%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.0% 10/45#MA3174                                                                   | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2040 | PA      | $1911.06      | 0.00%             | 2045-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5.5% 07/01/2054#FS8456                                                            | CUSIP: 3140XQME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    663352 | PA      | $661887.46    | 0.09%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 5% 04/48#784805                                                                     | CUSIP: 3622AAGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172277 | PA      | $171566.65    | 0.02%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6.5% 01/01/2055#CB9828                                                            | CUSIP: 3140QV4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287959 | PA      | $300158.70    | 0.04%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 05/01/2048#BK5486                                                            | CUSIP: 3140HKCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40020 | PA      | $36385.35     | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 11/01/2041#FS0106                                                              | CUSIP: 3140XFDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    432944 | PA      | $365312.93    | 0.05%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2020-NNN                     | J P MORGAN CHASE COML MTG SECS TR 2020-NNN 2.8123% 01/16/2037 144A                          | CUSIP: 46652BAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    670000 | PA      | $592943.30    | 0.08%             | 2037-01-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 01/01/2035#FM2286                                                              | CUSIP: 3140X5RG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127004 | PA      | $120868.17    | 0.02%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 5% 06/01/2055 #TBA                                                                | CUSIP: 01F050668<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -4800000 | PA      | $-4647561.12  | -0.64%            | 2055-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 07/01/2041#FM8066                                                              | CUSIP: 3140XB6C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271785 | PA      | $229415.11    | 0.03%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6% 09/01/2054#CB9149                                                              | CUSIP: 3140QVEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    864876 | PA      | $886712.32    | 0.12%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 02/01/2033#ZS8686                                                              | CUSIP: 3132A9UK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16214 | PA      | $15631.97     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 08/01/2049#                                                                    | CUSIP: 3132DV3M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50611 | PA      | $43763.91     | 0.01%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 3% 12/01/2036#MA2832                                                              | CUSIP: 31418CEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2018818 | PA      | $1889531.15   | 0.26%             | 2036-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2025-VTT                               | WELLS FARGO COML MTG TR 2025-VTT A VAR 03/15/2038 144A                                      | CUSIP: 94990GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    418000 | PA      | $416756.99    | 0.06%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2% 10/20/2050#MA6930                                                                | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4877831 | PA      | $3920677.37   | 0.54%             | 2050-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                             | BX Trust 2025-ROIC VAR 03/15/2030 144A                                                      | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1438000 | PA      | $1427215.00   | 0.20%             | 2030-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 05/01/2051#SD7540                                                            | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1490979 | PA      | $1237269.05   | 0.17%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B17 MORTGAGE TRUST                              | BENCHMARK 2020-B17 MORTGAGE TRUST CSTR 03/15/2053                                           | CUSIP: 08162MAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1837791 | PA      | $81613.35     | 0.01%             | 2053-03-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LEASE TR 2024-A                                | VOLKSWAGEN AUTO LSE TRUST 5.21% 06/21/2027                                                  | CUSIP: 92866EAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    229000 | PA      | $230870.75    | 0.03%             | 2027-06-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP6            | JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP6 3.2829% 07/15/2050                      | CUSIP: 48128KBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75432 | PA      | $74498.96     | 0.01%             | 2050-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5% 11/01/2052#FS3295                                                              | CUSIP: 3140XJUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426139 | PA      | $417299.30    | 0.06%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                 | CITI SWAP REC 4.03 04/25/30                                                                 | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    400000 | NC      | $14711.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 1.47% 09/25/2027                                             | CUSIP: 3137F72B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $846015.66    | 0.12%             | 2027-09-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BLP COML MTG 2024-INDS                                         | BLP COML MTG 2024-IND2 A TSFR1M+139.208 03/15/2041 144A                                     | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221077 | PA      | $221214.95    | 0.03%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 10/01/2051#CB1872                                                              | CUSIP: 3140QMCJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245234 | PA      | $210715.23    | 0.03%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORD CR AUTO OWNER TR 2020-REV2                                | FORD CR AUTO OWNER TR 2020-REV2 A 1.06% 04/15/2033 144A                                     | CUSIP: 34532JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2750000 | PA      | $2713482.75   | 0.37%             | 2033-04-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 01/01/2052#RA6623                                                            | CUSIP: 3133KNLC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    620350 | PA      | $513044.39    | 0.07%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2019-GC41                                | CITIGROUP COML MTG TR 2019-GC41 CSTR 08/10/2056                                             | CUSIP: 17328FBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4206796 | PA      | $133925.88    | 0.02%             | 2056-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                          | LCH OIS SOFRV3.25% MAC 06/18/28                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -50641000 | NC      | $59231.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BOFA AUTO TRUST 2025-1                                         | BOFA AUTO TRUST 2025-1 4.52% 11/22/2027 144A                                                | CUSIP: 05594BAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    660000 | PA      | $659508.56    | 0.09%             | 2027-11-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 1.5% 10/25/2051                                              | CUSIP: 3137H2UY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    246612 | PA      | $204578.89    | 0.03%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 02/01/2035#FM6733                                                            | CUSIP: 3140XAPT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84922 | PA      | $81336.82     | 0.01%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 05/01/2035#MA4013                                                            | CUSIP: 31418DN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3779465 | PA      | $3524934.56   | 0.48%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 4.05% 09/25/2028                                             | CUSIP: 3137FJXV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $397229.60    | 0.05%             | 2028-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                             | VLS COMMERCIAL MORTGAGE TRUST 2020-LAB X CSTR 10/10/2042 144A                               | CUSIP: 92858TAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $30886.08     | 0.00%             | 2042-10-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2% 03/01/2041#SC0136                                                              | CUSIP: 3132D9EH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114121 | PA      | $97467.99     | 0.01%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 02/01/2049#FM3160                                                            | CUSIP: 3140X6QN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98799 | PA      | $94594.63     | 0.01%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 3% 03/01/2040#FM6134                                                              | CUSIP: 3140X9Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62203 | PA      | $57908.13     | 0.01%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 6% 02/01/2055#SL0430                                                              | CUSIP: 31427MPQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    504993 | PA      | $517269.53    | 0.07%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 02/01/2052#QD7533                                                              | CUSIP: 3133B5LN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13851 | PA      | $12928.11     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                         | CARMAX SELECT RECEIVABLES TRUST 2024-A 5.78% 09/15/2027                                     | CUSIP: 14319FAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     49132 | PA      | $49308.51     | 0.01%             | 2027-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CY451600 12/16/72 S                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |   2040000 | NC      | $3714.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 07/01/2050#RA2976                                                            | CUSIP: 3133KJJV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    469388 | PA      | $389075.02    | 0.05%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 09/01/2050#QB3577                                                              | CUSIP: 3133A96N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179132 | PA      | $140338.31    | 0.02%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                    | MERCHANTS FLEET FUNDING LLC 7.21% 05/20/2036 144A                                           | CUSIP: 588926AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    533297 | PA      | $537897.86    | 0.07%             | 2036-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 6.5% 07/01/2055 #TBA                                                              | CUSIP: 01F062671<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -3525000 | PA      | $-3616427.93  | -0.50%            | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                          | BOAM SWAP REC 3.89 04/21/26                                                                 | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  -2300000 | NC      | $-73824.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 12/01/2051#CB2348                                                              | CUSIP: 3140QMTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352677 | PA      | $278503.03    | 0.04%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 3.0% 07/01/2035#MA2320                                                            | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20176 | PA      | $19098.61     | 0.00%             | 2035-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 05/01/2048#BJ2757                                                            | CUSIP: 3140H4B37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70344 | PA      | $63889.54     | 0.01%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 11/01/2035#BQ6318                                                            | CUSIP: 3140KSAU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    630726 | PA      | $556297.28    | 0.08%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2% 12/20/2051#MA7766                                                                | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1794923 | PA      | $1442713.76   | 0.20%             | 2051-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MHC COML MTG TR 2021-MHC                                       | MHC COML MTG TR 2021-MHC A TSFR1M+91.544 096 04/15/2026 144A                                | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118581 | PA      | $118506.59    | 0.02%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                         | GSCM SWAP REC 3.9025 04/14/26                                                               | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   3680000 | NC      | $119110.67    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-3              | GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-3 5.45% 06/16/2028                          | CUSIP: 36267KAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    204313 | PA      | $205572.64    | 0.03%             | 2028-06-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5% 01/01/2053#SD8288                                                              | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94911 | PA      | $92230.77     | 0.01%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C3 MTG TR                                             | BMO 2022-C3 MTG TR 22-C3 ASB VAR 09/15/2054                                                 | CUSIP: 05602QAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $512991.65    | 0.07%             | 2054-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 3% 05/25/2048                                                | CUSIP: 3136BL6J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    240259 | PA      | $218280.52    | 0.03%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                         | GSCM SWAP PAY 3.9025 04/14/26                                                               | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   3680000 | NC      | $110582.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 08/01/2051#CB1280                                                            | CUSIP: 3140QLM60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1320625 | PA      | $1087236.39   | 0.15%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                        | MNGT SWAP CZ030007 12/17/57 B                                                               | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $12752.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 1.5% 12/01/2035#SB8078                                                            | CUSIP: 3132D56P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    632752 | PA      | $558084.20    | 0.08%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                 | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3703                                                      | CUSIP: 3142GUDH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    984528 | PA      | $1026854.31   | 0.14%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 09/01/2041#AI9851                                                            | CUSIP: 3138AP5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323826 | PA      | $317656.93    | 0.04%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 1.5% 02/01/2051#SD8127                                                            | CUSIP: 3132DWA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1061181 | PA      | $784906.30    | 0.11%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 10/01/2051#CB1801                                                              | CUSIP: 3140QMAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1916936 | PA      | $1513772.56   | 0.21%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                        | FHLM 30YR 6% 07/01/2053#RA9382                                                              | CUSIP: 3133KRM76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    424182 | PA      | $433036.38    | 0.06%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 2022-7 A 3% 05/25/2048                                       | CUSIP: 3136BLRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    323114 | PA      | $293488.51    | 0.04%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 02/01/2048#ZS4754                                                              | CUSIP: 3132A5H73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    570092 | PA      | $496170.05    | 0.07%             | 2048-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 12/01/2051#RA6506                                                              | CUSIP: 3133KNGP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53047 | PA      | $41559.05     | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 04/01/2052#RA7142                                                              | CUSIP: 3133KN5B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    646937 | PA      | $510875.27    | 0.07%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 10/01/2050#CA7323                                                              | CUSIP: 3140QFD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    640223 | PA      | $508974.37    | 0.07%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 2% 06/01/2055 #TBA                                                                | CUSIP: 01F020661<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -64675000 | PA      | $-50272175.01 | -6.89%            | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                   | BX 2024-CNYN TSFR1M+144.188 04/15/2029 144A                                                 | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    681466 | PA      | $682317.79    | 0.09%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MFA 2022-RPL1 TR                                               | MFA 2022-RPL1 TR 3.3% 08/25/2061 144A                                                       | CUSIP: 55285TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    722365 | PA      | $670535.77    | 0.09%             | 2061-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 03/01/2052#RA6926                                                              | CUSIP: 3133KNVT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97283 | PA      | $83361.56     | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 11/01/2034#CA4460                                                              | CUSIP: 3140QB5W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577949 | PA      | $550024.89    | 0.08%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 3% 04/01/2038#FM7607                                                              | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29179 | PA      | $27965.07     | 0.00%             | 2038-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 6% 06/01/2055 #TBA                                                                  | CUSIP: 21H060663<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -31400000 | PA      | $-31704981.92 | -4.34%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DLLAA 2023-1A                                                  | DLLAA 2023-1A 5.93% 07/20/2026 144A                                                         | CUSIP: 23292HAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17337 | PA      | $17364.42     | 0.00%             | 2026-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.50% 12/40 #004881                                                                 | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1697 | PA      | $1577.92      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CZ030008 12/17/57 B                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $7643.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C28    | MSBAM 2016-C28 3.272% 01/15/49                                                              | CUSIP: 61766LBR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75875 | PA      | $75219.47     | 0.01%             | 2049-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 09/01/2047#CA0257                                                            | CUSIP: 3140Q7JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152675 | PA      | $138951.75    | 0.02%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2% 02/20/2051#MA7192                                                                | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    467277 | PA      | $375585.23    | 0.05%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                 | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3700                                                      | CUSIP: 3142GUDE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    310536 | PA      | $325657.23    | 0.04%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 09/01/2048#ZM8154                                                              | CUSIP: 3131Y3BX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44048 | PA      | $41012.39     | 0.01%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII 15YR 3% 04/20/2031#MA3572                                                              | CUSIP: 36179R6H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67167 | PA      | $65170.35     | 0.01%             | 2031-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                            | GSCOFI SWAP CY873248 04/17/65 B                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    170000 | NC      | $28984.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2.5% 08/01/2041#RB5122                                                            | CUSIP: 3133KYVP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    458951 | PA      | $401548.40    | 0.06%             | 2041-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+100 10/25/2054                                       | CUSIP: 3137HFYT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    240721 | PA      | $239340.29    | 0.03%             | 2054-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2% 02/01/2028#FS3865                                                              | CUSIP: 3140XKJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81236 | PA      | $79116.92     | 0.01%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 11/01/2051#BU5834                                                              | CUSIP: 3140M7PU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139776 | PA      | $109505.27    | 0.02%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 12/01/2031#AS8511                                                            | CUSIP: 3138WJN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275892 | PA      | $263895.40    | 0.04%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 3.5% 06/01/2038#MA3388                                                            | CUSIP: 31418CXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16020 | PA      | $15050.86     | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 3.25% 04/25/2052                                             | CUSIP: 3137H6RT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    899931 | PA      | $839343.89    | 0.12%             | 2052-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL5                                        | BX COML MTG TR 2024-XL5 A TSFR1M+139.165 03/15/2039 144A                                    | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3258156 | PA      | $3260192.24   | 0.45%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 12/01/2051#CB2320                                                            | CUSIP: 3140QMSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    571269 | PA      | $472453.09    | 0.06%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2.5% 06/01/2041#BR1090                                                            | CUSIP: 3140KYF82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99697 | PA      | $87721.33     | 0.01%             | 2041-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2023-BNK45                                                | BANK 2023-BNK45 5.203% 02/15/2056                                                           | CUSIP: 06541BBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $399849.68    | 0.05%             | 2056-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2021-SP1                               | NEW YORK MORTGAGE TRUST 2021-SP1 4.6696% 08/25/2061 144A                                    | CUSIP: 62955RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    199480 | PA      | $198494.37    | 0.03%             | 2061-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 5.5% 06/01/2055 #TBA                                                                | CUSIP: 21H052660<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9200000 | PA      | $9136902.72   | 1.25%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 10/01/2047#CA0607                                                            | CUSIP: 3140Q7U96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2721874 | PA      | $2460210.22   | 0.34%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 2021-96 AH 2.5% 03/25/2049                                   | CUSIP: 3136BKXA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1080221 | PA      | $928553.71    | 0.13%             | 2049-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5% 10/01/2052#MA4785                                                              | CUSIP: 31418EJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281952 | PA      | $273519.06    | 0.04%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 5.5% 06/01/2055 #TBA                                                              | CUSIP: 01F052664<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -12175000 | PA      | $-12057063.21 | -1.65%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 11/32#ZK9037                                                                   | CUSIP: 3131XDBE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    384567 | PA      | $371211.17    | 0.05%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                          | BOAM SWAP PAY 4.025 04/23/30                                                                | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2610000 | NC      | $107862.22    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2% 02/01/2041#RB5100                                                              | CUSIP: 3133KYUZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192745 | PA      | $163655.99    | 0.02%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B18 MORTGAGE TRUST                              | BENCHMARK 2020-B18 MORTGAGE TRUST CSTR 07/15/2053                                           | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1355451 | PA      | $67928.97     | 0.01%             | 2053-07-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CY873248 04/17/65 B                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $17049.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 02/01/2052#FS2040                                                              | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    877746 | PA      | $684638.21    | 0.09%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                        | FHLM 30YR 6% 06/01/2053#RA9278                                                              | CUSIP: 3133KRJX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    471684 | PA      | $480792.47    | 0.07%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                    | GSMS 2021-IP A TSFR1M+106.448 10/15/2036 144A                                               | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1165000 | PA      | $1157718.75   | 0.16%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 3% 06/25/2049                                                | CUSIP: 3136BMER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    276394 | PA      | $253210.97    | 0.03%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 07/01/2050#CA6416                                                              | CUSIP: 3140QEDW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1024814 | PA      | $886485.86    | 0.12%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 08/01/2041#FM8334                                                              | CUSIP: 3140XCHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414528 | PA      | $350381.67    | 0.05%             | 2041-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 3% 08/36#MA2707                                                                   | CUSIP: 31418CAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85219 | PA      | $80160.53     | 0.01%             | 2036-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 1.75% 02/25/2052                                             | CUSIP: 3137H5WR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   1302292 | PA      | $1137764.32   | 0.16%             | 2052-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COMM 2016-COR1 MTG TR                                          | COMM 2016-COR1 ASB 2.972% 10/49                                                             | CUSIP: 12594MBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186840 | PA      | $185192.99    | 0.03%             | 2049-10-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6% 07/01/2054#CB8850                                                              | CUSIP: 3140QUZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1222687 | PA      | $1251265.62   | 0.17%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 5% 12/20/2054#MB0091                                                                | CUSIP: 3618N5C56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    691735 | PA      | $671481.21    | 0.09%             | 2054-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 04/01/2051#MA4305                                                              | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1661215 | PA      | $1299374.30   | 0.18%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2% 07/01/2035#FM3159                                                              | CUSIP: 3140X6QM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260281 | PA      | $237321.11    | 0.03%             | 2035-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MORTAGE TR 2024-MGP                           | WELLS FARGO COML MORTAGE TR 2024-MGP A12 TSFR1M+179.1 08/15/2041 144A                       | CUSIP: 95003TAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $895497.30    | 0.12%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                        | FHLM 30YR 3.5% 05/01/2049#Q63646                                                            | CUSIP: 3132VQBQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170563 | PA      | $153624.26    | 0.02%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 6.5% 09/01/2054#SD6617                                                            | CUSIP: 3132DUK63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4808433 | PA      | $5016280.85   | 0.69%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 01/01/2051#FM7031                                                              | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342629 | PA      | $318157.19    | 0.04%             | 2051-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 02/01/2052#CB2886                                                              | CUSIP: 3140QNF49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    616774 | PA      | $529764.56    | 0.07%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 3% 04/01/2036#MA2579                                                              | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42427 | PA      | $40054.53     | 0.01%             | 2036-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 05/43 #MA1012                                                                  | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225822 | PA      | $207306.71    | 0.03%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 12/01/2051#MA4494                                                              | CUSIP: 31418D7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4384696 | PA      | $3762026.65   | 0.52%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 22-67 FA SOFR30A+80 10/25/2052                               | CUSIP: 3136BPBP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   2245047 | PA      | $2177927.21   | 0.30%             | 2052-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 04/01/2037#BM1257                                                            | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    456992 | PA      | $415704.33    | 0.06%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NYMT LN TR 2022-CP1                                            | NYMT LN TR 2022-CP1 2.0424% 07/25/2061 144A                                                 | CUSIP: 62955VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1032575 | PA      | $953341.81    | 0.13%             | 2061-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF4 LLC                                             | PRPM 2024-RCF4 A1 LLC VAR 07/25/2054 144A                                                   | CUSIP: 74448JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    239839 | PA      | $233950.69    | 0.03%             | 2054-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 12/01/2047#ZM5206                                                            | CUSIP: 3131XYYB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12374 | PA      | $11250.21     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-DIME                                             | BX TRUST 2025-DIME A TSFR1M+115 02/15/2035 144A                                             | CUSIP: 05613UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    437000 | PA      | $435361.25    | 0.06%             | 2035-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2011-GC5                                        | GS MTG SECS TR 2011-GC5 5.209% 08/10/2044 144A                                              | CUSIP: 36191YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566529 | PA      | $553536.46    | 0.08%             | 2044-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 10/01/2049#SD8016                                                              | CUSIP: 3132DV3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    344676 | PA      | $297721.04    | 0.04%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 03/20/44#MA1760                                                                | CUSIP: 36179N5V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2053 | PA      | $1883.03      | 0.00%             | 2044-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 02/01/2043#ZS3684                                                            | CUSIP: 3132A4CV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169150 | PA      | $156636.85    | 0.02%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 11/01/2034#BO4944                                                            | CUSIP: 3140K0P69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9535 | PA      | $8914.02      | 0.00%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5.5% 10/01/2053#CB7297                                                            | CUSIP: 3140QTDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1497124 | PA      | $1500836.29   | 0.21%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                          | BX COMMERCIAL MORTGAGE TRUST 2019-IMC A TSFR1M+111.448 04/15/2034 144A                      | CUSIP: 05608BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56047 | PA      | $55521.11     | 0.01%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2% 03/20/2052#                                                                      | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2225320 | PA      | $1789351.21   | 0.25%             | 2052-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 06/01/2055 #TBA                                                                | CUSIP: 21H032662<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14650000 | PA      | $13039828.76  | 1.79%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 09/01/2036#MA4417                                                            | CUSIP: 31418D4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51271 | PA      | $45028.42     | 0.01%             | 2036-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5.5% 06/01/2054#CB8689                                                            | CUSIP: 3140QUUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1104486 | PA      | $1096525.31   | 0.15%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 2.5% 12/20/2051#785791                                                              | CUSIP: 3622ABKC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    473996 | PA      | $393871.86    | 0.05%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 07/01/2051#FS4654                                                              | CUSIP: 3140XLE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305471 | PA      | $239697.77    | 0.03%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 02/01/2051#RA4575                                                            | CUSIP: 3133KLCL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    655973 | PA      | $540250.58    | 0.07%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                              | SREIT TR 2021-MFP B TSFR1M+119.428 98 11/15/2038 144A                                       | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189578 | PA      | $188985.74    | 0.03%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                            | GSCOFI SWAP CZ030008 12/17/57 B                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    200000 | NC      | $15287.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2% 11/20/2050#MA6994                                                                | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2212150 | PA      | $1778070.41   | 0.24%             | 2050-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 09/01/2047#ZM4241                                                            | CUSIP: 3131XXWA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6038 | PA      | $5495.06      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6.5% 09/01/2053#CB7134                                                            | CUSIP: 3140QS4U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    584460 | PA      | $606025.49    | 0.08%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE OWNER TRUST 2025-A                                 | BMW VEHICLE OWNER TRUST 2025-A 4.56% 09/25/2029                                             | CUSIP: 096924AD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $201035.66    | 0.03%             | 2029-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 12/01/2051#CB2346                                                              | CUSIP: 3140QMTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386430 | PA      | $306123.61    | 0.04%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 10/01/2051#FS6478                                                            | CUSIP: 3140XNFU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120939 | PA      | $99679.74     | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                        | MNGT SWAP CY873248 04/17/65 B                                                               | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    140000 | NC      | $23869.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B10 MTG TR                                      | BENCHMARK 2019-B10 MORTGAGE TRUST 3.717% 03/15/2062                                         | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    229000 | PA      | $219909.89    | 0.03%             | 2062-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS              | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                                | CUSIP: 38380HES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    107924 | PA      | $94868.86     | 0.01%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 12/01/2032#BM5345                                                              | CUSIP: 3140J95F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44501 | PA      | $43119.78     | 0.01%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5% 10/01/2052#FS3047                                                              | CUSIP: 3140XJL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    855353 | PA      | $837877.62    | 0.11%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 10/01/2051#MA4438                                                            | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1934195 | PA      | $1583306.30   | 0.22%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2021-TY                                              | BPR TRUST 2021-TY TSFR1M+174.77 04/15/2024 144A                                             | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1680000 | PA      | $1679475.00   | 0.23%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 11/01/2041#BT9396                                                            | CUSIP: 3140LYNN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95037 | PA      | $83345.31     | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6% 09/01/2054#CB9216                                                              | CUSIP: 3140QVG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2212474 | PA      | $2238605.18   | 0.31%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                                       | CUSIP: 3137HJYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   2580023 | PA      | $2568861.72   | 0.35%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA GTD MTG PASS THRU CTF 2% 05/25/2045                                                    | CUSIP: 3136BBQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    482673 | PA      | $448185.71    | 0.06%             | 2045-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 03/01/2052#FS9872                                                              | CUSIP: 3140XR6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201773 | PA      | $159714.97    | 0.02%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A           | WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A 4.35% 12/15/2027                       | CUSIP: 98164PAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    800000 | PA      | $798740.24    | 0.11%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6% 03/01/2054#CB8112                                                              | CUSIP: 3140QUAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    574604 | PA      | $581569.90    | 0.08%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 1.5% 04/01/2051#QC0798                                                            | CUSIP: 3133AJ3F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5275752 | PA      | $3898930.12   | 0.53%             | 2051-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.5% 04/20/2055#MB0306                                                              | CUSIP: 3618N5KU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4699999 | PA      | $4438057.35   | 0.61%             | 2055-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2                  | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2 4.67% 08/15/2029                              | CUSIP: 80287NAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    700000 | PA      | $702097.83    | 0.10%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 07/01/2041#CB1071                                                              | CUSIP: 3140QLFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409238 | PA      | $346160.19    | 0.05%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD         | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 2.5% 08/25/2048                      | CUSIP: 3137H3S94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    194735 | PA      | $168624.90    | 0.02%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 10/01/2046#BC4754                                                              | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41723 | PA      | $39160.59     | 0.01%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 11/01/2050#CA7616                                                              | CUSIP: 3140QFPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370804 | PA      | $291891.01    | 0.04%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-GPA3                                       | BX COML MTG TR 2024-GPA3 A TSFR1M+149.25 12/15/2029 144A                                    | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148159 | PA      | $148158.81    | 0.02%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 01/01/2035#CA5039                                                              | CUSIP: 3140QCS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15953 | PA      | $15221.86     | 0.00%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1                 | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 4.83% 10/16/2028                             | CUSIP: 30185AAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     80000 | PA      | $79931.66     | 0.01%             | 2028-10-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 6% 04/01/2054#SD7569                                                              | CUSIP: 3132DVMS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2738912 | PA      | $2802929.21   | 0.38%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 10/01/2051#CB1799                                                              | CUSIP: 3140QL7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1435560 | PA      | $1137226.87   | 0.16%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 1.5% 02/01/2041#MA4266                                                            | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118597 | PA      | $97763.52     | 0.01%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 05/01/2051#MA4326                                                            | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    771710 | PA      | $632435.51    | 0.09%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+145 10/25/2053                                       | CUSIP: 3137HAT48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    870550 | PA      | $875828.70    | 0.12%             | 2053-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                      | UST NOTES 3.75% 04/15/2028                                                                  | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     40000 | PA      | $39871.88     | 0.01%             | 2028-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                               | BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+115 01/15/2039 144A                                 | CUSIP: 05530SAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249399 | PA      | $248463.92    | 0.03%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 01/01/2037#FS2747                                                            | CUSIP: 3140XJBR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1034758 | PA      | $909741.12    | 0.12%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST.                                         | CCG RECEIVABLES TRUST. 4.48% 10/14/2032 144A                                                | CUSIP: 12515XAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    145000 | PA      | $144987.72    | 0.02%             | 2032-10-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 03/01/2052#CB3109                                                            | CUSIP: 3140QNN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    699209 | PA      | $577825.67    | 0.08%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6% 06/01/2053#CB6539                                                              | CUSIP: 3140QSHR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    643977 | PA      | $656614.03    | 0.09%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5.5% 02/01/2053#CB5600                                                            | CUSIP: 3140QRGJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287541 | PA      | $286636.23    | 0.04%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+145 11/25/2053                                       | CUSIP: 3136BQRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1208536 | PA      | $1217125.05   | 0.17%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                               | GMF FLOORPLAN OWNER REVOLVING TR 5.34% 06/15/2028 144A                                      | CUSIP: 361886CR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1126000 | PA      | $1134612.44   | 0.16%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2.5% 02/20/2052#MA7881                                                              | CUSIP: 36179WXJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2901535 | PA      | $2434182.89   | 0.33%             | 2052-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 03/01/2036#BR4700                                                            | CUSIP: 3140L3GJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44390 | PA      | $39152.07     | 0.01%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4.5% 07/01/2047#G61047                                                            | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33375 | PA      | $32246.50     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE OWNER TRUST 2025                                    | JOHN DEERE OWNER TRUST 2025 4.23% 03/15/2028 REGS                                           | CUSIP: 47800DAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    900000 | PA      | $898092.09    | 0.12%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 09/01/2051#QC7480                                                              | CUSIP: 3133ASJZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14803 | PA      | $13825.54     | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 12/01/2051#FM9919                                                              | CUSIP: 3140XEAV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1554218 | PA      | $1335932.66   | 0.18%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+153 07/25/2054                                       | CUSIP: 3136BSMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    381695 | PA      | $381766.82    | 0.05%             | 2054-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 09/01/2051#MA4414                                                            | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37013 | PA      | $30298.62     | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 22-64 GF SOFR30A+80 10/25/2052                               | CUSIP: 3136BPDD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    629964 | PA      | $617363.71    | 0.08%             | 2052-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5.5% 07/01/2053#CB6673                                                            | CUSIP: 3140QSMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    679374 | PA      | $678723.64    | 0.09%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1    | GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 4.52% 10/15/2027 144A           | CUSIP: 39154GAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $499299.25    | 0.07%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                            | GSCOFI SWAP CZ030008 12/17/57 B                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    300000 | NC      | $22930.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP PAY 4.075 04/24/30                                                                | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |   3400000 | NC      | $137510.25    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 1.5% 06/36#SB8106                                                                 | CUSIP: 3132D6AF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48377 | PA      | $42607.87     | 0.01%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2022                                            | TOWD PT MTG TR 2022 3.75% 07/25/2062 144A                                                   | CUSIP: 89170VAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    349514 | PA      | $329228.76    | 0.05%             | 2062-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5.5% 06/01/2053#CB6527                                                            | CUSIP: 3140QSHD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332297 | PA      | $331979.03    | 0.05%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                         | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP TSFR1M+81.548 1 11/15/2036 144A                      | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    948896 | PA      | $946523.27    | 0.13%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2                      | JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2 A1 VAR 09/25/2065 144A                            | CUSIP: 46590SAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    600000 | PA      | $600673.08    | 0.08%             | 2065-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                         | GSCM SWAP PAY 3.1415 09/15/2025                                                             | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   2400000 | NC      | $146345.86    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                     | FANNIEMAE 30YR 2.5% 01/01/2052#FA0375                                                       | CUSIP: 3140W0MZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    762642 | PA      | $626195.77    | 0.09%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 1.5% 11/01/2050#QB6612                                                            | CUSIP: 3133ADKZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79233 | PA      | $59249.07     | 0.01%             | 2050-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5% 01/01/2053#SD2186                                                              | CUSIP: 3132DPNB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    564742 | PA      | $551792.26    | 0.08%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 2.5% 06/01/2055 #TBA                                                              | CUSIP: 01F022667<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  21650000 | PA      | $17643901.32  | 2.42%             | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CY873248 04/17/65 B                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     80000 | NC      | $13639.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C54                               | WELLS FARGO COML MTG TR 2019-C54 VAR 12/15/2052                                             | CUSIP: 95001YAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5393963 | PA      | $171919.07    | 0.02%             | 2052-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 2022-1 KA 3% 05/25/2048                                      | CUSIP: 3136BLMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    228030 | PA      | $207056.72    | 0.03%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4.5% 07/01/2049#RA1171                                                            | CUSIP: 3133KGJQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1684532 | PA      | $1614955.14   | 0.22%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 10/01/2051#FM9068                                                            | CUSIP: 3140XDCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293361 | PA      | $241425.18    | 0.03%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5% 06/01/2052#RA7575                                                              | CUSIP: 3133KPMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    538675 | PA      | $529521.12    | 0.07%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2015-GC34                                       | GSMS 2015 GC34 AAB 3.278% 10/10/2048                                                        | CUSIP: 36250VAE2<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |      1417 | PA      | $1414.63      | 0.00%             | 2048-10-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                        | FHLM 30YR 5.5% 04/01/2055#SL1111                                                            | CUSIP: 31427NGV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3992889 | PA      | $3995304.11   | 0.55%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 05/51#SD7541                                                                   | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6067665 | PA      | $4808598.86   | 0.66%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 09/01/2047#ZM4140                                                            | CUSIP: 3131XXS51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6471 | PA      | $5889.25      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 09/20/2040#004799                                                              | CUSIP: 36202FKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3790 | PA      | $3519.94      | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+120 12/25/2054                                       | CUSIP: 3136BTXR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   2138269 | PA      | $2132152.97   | 0.29%             | 2054-12-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C32                 | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C32 A3FL TSFR1M+153.448 01/15/2059               | CUSIP: 94989YBG7<br>LEI: 549300VOKB4Z9J8DIM89 | Long             | ABS-MBS          | CORP              | US        |    626570 | PA      | $627545.81    | 0.09%             | 2059-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 03/01/2052#SD3489                                                              | CUSIP: 3132DQ2W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    671630 | PA      | $527856.34    | 0.07%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY451600 12/16/72 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    350000 | NC      | $-637.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                     | FANNIEMAE 20YR 3.5% 12/01/2036#BM3680                                                       | CUSIP: 3140J8CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199934 | PA      | $190772.61    | 0.03%             | 2036-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                              | CUSIP: 3137H5UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    189962 | PA      | $162810.44    | 0.02%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 06/01/2041#MA4364                                                              | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17786 | PA      | $15064.61     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5% 11/01/2052#SD1863                                                              | CUSIP: 3132DPB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    251895 | PA      | $246669.94    | 0.03%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RLGH TR 2021-TROT                                              | RLGH TR 2021-TROT VAR 04/15/2026 144A                                                       | CUSIP: 74969CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1894327.36   | 0.26%             | 2036-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+120 02/25/2055                                       | CUSIP: 3137HJZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    379176 | PA      | $375921.68    | 0.05%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 6% 07/01/2039#SB1215                                                              | CUSIP: 3132CXK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7373220 | PA      | $7553507.66   | 1.04%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6% 05/01/2054#                                                                    | CUSIP: 3140QUNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1754243 | PA      | $1775510.24   | 0.24%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 11/01/2035#MA4178                                                            | CUSIP: 31418DUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16195 | PA      | $14284.16     | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2% 04/51#MA7311                                                                     | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156365 | PA      | $125681.89    | 0.02%             | 2051-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 08/01/2032#MA3090                                                              | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131574 | PA      | $127077.17    | 0.02%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 03/01/2049#ZN6553                                                              | CUSIP: 3131YDH64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    612074 | PA      | $569313.81    | 0.08%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5.5% 03/01/2053#SD7559                                                            | CUSIP: 3132DVMG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2614260 | PA      | $2621560.52   | 0.36%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2.5% 11/51#MA7705                                                                   | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    250773 | PA      | $210263.55    | 0.03%             | 2051-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 4.5% 10/25/2044                                              | CUSIP: 3137H9AA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    166288 | PA      | $164265.68    | 0.02%             | 2044-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OWN EQUIPMENT FUND I LLC                                       | OWN EQUIPMENT FUND I LLC 5.7% 12/20/2032 144A                                               | CUSIP: 69121NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    739741 | PA      | $745232.47    | 0.10%             | 2032-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2.5% 01/20/2052#MA7827                                                              | CUSIP: 36179WVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4455739 | PA      | $3735961.56   | 0.51%             | 2052-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 6.5% 06/01/2054#SD7571                                                            | CUSIP: 3132DVMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1542347 | PA      | $1603111.75   | 0.22%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CZ030008 12/17/57 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    300000 | NC      | $22930.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 12/01/2051#BQ7458                                                              | CUSIP: 3140KTJC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    914089 | PA      | $711271.70    | 0.10%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CZ030008 12/17/57 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    100000 | NC      | $7643.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 6.5% 10/01/2053#RJ0002                                                            | CUSIP: 3142GQAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    355761 | PA      | $368665.68    | 0.05%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 11/01/2051#RA6347                                                              | CUSIP: 3133KNBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225148 | PA      | $193456.11    | 0.03%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 5.5% 06/01/2055 #TBA                                                                | CUSIP: 21H052660<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -9200000 | PA      | $-9136902.72  | -1.25%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.0% 08/20/2043#MA1225                                                              | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4556 | PA      | $4334.92      | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 09/01/2050#SD8090                                                              | CUSIP: 3132DV7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3993899 | PA      | $3133946.13   | 0.43%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 03/01/2052#CB3038                                                              | CUSIP: 3140QNLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213124 | PA      | $167367.86    | 0.02%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2% 04/01/2041#                                                                    | CUSIP: 3133KYU98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17106 | PA      | $14504.67     | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 09/42#G07184                                                                   | CUSIP: 3128M9J52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141058 | PA      | $134176.92    | 0.02%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 08/01/2048#ZS4785                                                              | CUSIP: 3132A5J63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    181523 | PA      | $169011.42    | 0.02%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2% 11/01/2041#RB5135                                                              | CUSIP: 3133KYV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239006 | PA      | $201571.71    | 0.03%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 01/01/2033#ZS8682                                                              | CUSIP: 3132A9UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26231 | PA      | $25297.20     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 1.5% 01/01/2051#MA4236                                                            | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1053989 | PA      | $779586.50    | 0.11%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FHLMC MULTIFAM STRUCTURED PASS THROUGH 2018-K072 A2 3.444% 12/25/2027                       | CUSIP: 3137FEBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $490151.55    | 0.07%             | 2027-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                     | FANNIE MAE 3% 05/25/2048                                                                    | CUSIP: 3136BMAC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    199625 | PA      | $181285.05    | 0.02%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 11/01/2048#ZN4472                                                              | CUSIP: 3131YA6H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24070 | PA      | $20986.95     | 0.00%             | 2048-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LN MTG CORP MTN                                       | FHLMC 30YR 5.5% 01/01/2055#QX3001                                                           | CUSIP: 31425XKP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2311642 | PA      | $2289923.46   | 0.31%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CY873248 04/17/65 B                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    110000 | NC      | $18754.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 3.35% 01/25/2028                                             | CUSIP: 3137FETN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $684491.22    | 0.09%             | 2028-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5% 09/01/2052#BW7430                                                              | CUSIP: 3140N0HG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21153 | PA      | $20892.52     | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 12/01/2046#BM5096                                                            | CUSIP: 3140J9UW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1559829 | PA      | $1440383.71   | 0.20%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 1.5% 08/01/2036#SB8114                                                            | CUSIP: 3132D6AP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29800 | PA      | $26199.71     | 0.00%             | 2036-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                              | CUSIP: 3137H5VK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    205887 | PA      | $176433.97    | 0.02%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TESLA 2024-A A3                                                | TESLA 2024-A A3 5.37% 06/22/2026 144A                                                       | CUSIP: 88166VAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20687 | PA      | $20702.90     | 0.00%             | 2026-06-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6% 02/01/2055#CB9989                                                              | CUSIP: 3140QWC34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1319590 | PA      | $1347650.11   | 0.18%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040                                                | CUSIP: 3137FXBN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    143231 | PA      | $127637.64    | 0.02%             | 2040-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 1.5% 01/01/2051#FS2528                                                            | CUSIP: 3140XHY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87019 | PA      | $64554.22     | 0.01%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 12/01/2050#MA4211                                                              | CUSIP: 31418DVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    906037 | PA      | $779777.94    | 0.11%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 04/01/2052#SD0958                                                            | CUSIP: 3132DNB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1712265 | PA      | $1540167.58   | 0.21%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 5191 CA 2.5% 04/25/2050                                      | CUSIP: 3137H5MS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    322495 | PA      | $271933.07    | 0.04%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 07/01/2050#MA4077                                                              | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2904272 | PA      | $2278933.58   | 0.31%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                            | GSCOFI SWAP CZ030008 12/17/57 B                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    200000 | NC      | $15287.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 03/01/2046#BM4980                                                              | CUSIP: 3140J9RA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279941 | PA      | $266078.09    | 0.04%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4% 06/01/2055 #TBA                                                                  | CUSIP: 21H040665<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4100000 | PA      | $3757595.06   | 0.51%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5% 11/01/2052#FS3248                                                              | CUSIP: 3140XJTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    669187 | PA      | $655515.32    | 0.09%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                            | GSCOFI SWAP CY873248 04/17/65 B                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $17049.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 12/01/2035#MA4205                                                            | CUSIP: 31418DU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    656672 | PA      | $579181.53    | 0.08%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 3.5% 12/20/2049#BR8985                                                              | CUSIP: 3617M76W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7785 | PA      | $6943.13      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DELL EQUIP FIN TR 2025-1                                       | DELL EQUIP FIN TR 2025-1 4.68% 07/22/2027 144A                                              | CUSIP: 24703UAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $250479.30    | 0.03%             | 2027-07-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-NUGS                              | MORGAN STANLEY CAP I TR 2019-NUGS A TSFR1M+106.448 4 12/15/2021 144A                        | CUSIP: 61692AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $864313.70    | 0.12%             | 2036-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3% 03/20/2050#MA6541                                                                | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    532689 | PA      | $465341.76    | 0.06%             | 2050-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C30               | MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C30 2.729% 09/15/2049                          | CUSIP: 61766NAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136051 | PA      | $135318.50    | 0.02%             | 2049-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2025-NQM5                             | BRAVO RESIDENTIAL FDG TR 2025-NQM5 STEP 02/25/2065 144A                                     | CUSIP: 10569RAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    600000 | PA      | $600302.52    | 0.08%             | 2065-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| POST ROAD EQUIPMENT FINANCE 2025-1 LLC                         | POST ROAD EQUIPMENT FINANCE 2025-1 LLC 4.9% 05/15/2031 144A                                 | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    140000 | PA      | $140423.79    | 0.02%             | 2031-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 02/01/2052#FS0631                                                              | CUSIP: 3140XFVZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    769620 | PA      | $661047.74    | 0.09%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 05/51#QC1514                                                                   | CUSIP: 3133AKVF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155926 | PA      | $123180.88    | 0.02%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 3% 02/25/2048                                                | CUSIP: 3137H65B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   3501803 | PA      | $3197258.43   | 0.44%             | 2048-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                    | MERCHANTS FLEET FUNDING LLC 5.82% 04/20/2037 144A                                           | CUSIP: 588926AF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    243652 | PA      | $245140.26    | 0.03%             | 2037-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MFRA TRST                                                      | MFRA TRUST VAR 02/25/2066 144A                                                              | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    275675 | PA      | $255166.88    | 0.03%             | 2066-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 08/01/2051#MA4399                                                            | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84744 | PA      | $69370.15     | 0.01%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5.5% 09/01/2054#CB9209                                                            | CUSIP: 3140QVGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    682423 | PA      | $677290.69    | 0.09%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 3.01% 07/25/2025                                             | CUSIP: 3137BLMZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20920 | PA      | $20855.75     | 0.00%             | 2025-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 03/01/2048#ZM5941                                                              | CUSIP: 3131Y0S60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29548 | PA      | $25716.23     | 0.00%             | 2048-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY562349 11/18/64 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    200000 | NC      | $33092.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 1.5% 11/25/2040                                              | CUSIP: 3137F64V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    975518 | PA      | $801544.97    | 0.11%             | 2040-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 11/01/2051#RA6308                                                              | CUSIP: 3133KNAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141880 | PA      | $112040.52    | 0.02%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DLLAA 2025-1 LLC                                               | DLLAA 2025-1 LLC 4.95% 09/20/2029 144A                                                      | CUSIP: 233249AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1450000 | PA      | $1465029.25   | 0.20%             | 2029-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL EQUIP FIN TR 2025-1                                       | DELL EQUIP FIN TR 2025-1 4.61% 02/24/2031 144A                                              | CUSIP: 24703UAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $401952.44    | 0.06%             | 2031-02-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCWEN LN INVT TR 2024-HB1                                      | OCWEN LN INVT TR 2024-HB1 3% 02/25/2037 144A                                                | CUSIP: 675952AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     39350 | PA      | $38271.41     | 0.01%             | 2037-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                          | LCH OIS SOFRV3.5% MAC 06/18/45                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -12133000 | NC      | $154380.54    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 12/01/2051#BT9493                                                              | CUSIP: 3140LYRP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322101 | PA      | $254357.41    | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 04/01/2052#QE0316                                                            | CUSIP: 3133B9K52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1801479 | PA      | $1599022.24   | 0.22%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                        | BX COML MTG TR 2024-XL5 B TSFR1M+169.12 03/15/2039 144A                                     | CUSIP: 05612GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181893 | PA      | $182007.14    | 0.02%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 1.5% 04/25/2051                                              | CUSIP: 3137H22J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    189511 | PA      | $156959.40    | 0.02%             | 2051-04-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                               | WHEELS FLEET LEASE FUNDING 1 LLC 6.46% 08/18/2038 144A                                      | CUSIP: 96328GBG1<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    719029 | PA      | $728445.74    | 0.10%             | 2038-08-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 05/01/2031#BC0919                                                            | CUSIP: 3140EVAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9731 | PA      | $9345.28      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 3% 04/25/2050                                                | CUSIP: 3137H6K38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    286566 | PA      | $252863.78    | 0.03%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2015-P1                                  | CGCMT 2015-P1 A5 3.717% 09/48                                                               | CUSIP: 17324DAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    785255 | PA      | $782689.83    | 0.11%             | 2048-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY885799 12/15/56 S                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    300000 | NC      | $-5252.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2024-2                                    | CARMAX AUTO OWNER TR 2024-2 5.5% 01/16/2029                                                 | CUSIP: 14319EAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    187000 | PA      | $189452.86    | 0.03%             | 2029-01-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2% 01/20/2051#MA7135                                                                | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11045150 | PA      | $8877811.99   | 1.22%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 6% 03/01/2053#SD2518                                                              | CUSIP: 3132DPYP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    466928 | PA      | $478571.22    | 0.07%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 1.5% 07/01/2035#SB8065                                                            | CUSIP: 3132D56A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    219173 | PA      | $194131.13    | 0.03%             | 2035-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 09/01/2051#BT0253                                                              | CUSIP: 3140LNH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10511 | PA      | $9816.69      | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII 15YR 3% 03/20/2031#MA3496                                                              | CUSIP: 36179R3D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18059 | PA      | $17528.33     | 0.00%             | 2031-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 05/01/2035#SB0836                                                              | CUSIP: 3132CW4V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    722451 | PA      | $687545.64    | 0.09%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3.5% 12/01/2035#FM7459                                                            | CUSIP: 3140XBJD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295723 | PA      | $286159.95    | 0.04%             | 2035-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-SOAR                         | BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A                                            | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    307544 | PA      | $307543.89    | 0.04%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5.5% 08/01/2054#CB9059                                                            | CUSIP: 3140QVB52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291372 | PA      | $289271.97    | 0.04%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 21-85 L 2.5% 08/25/2048                                      | CUSIP: 3136BKJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    235428 | PA      | $203836.40    | 0.03%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 08/01/2051#CB1281                                                            | CUSIP: 3140QLM78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1687803 | PA      | $1389524.91   | 0.19%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 11/01/2047#ZM4961                                                            | CUSIP: 3131XYQN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51695 | PA      | $47048.04     | 0.01%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 09/32#MA3125                                                                   | CUSIP: 31418CPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8605 | PA      | $8308.40      | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 05/01/2033#G16550                                                              | CUSIP: 3128MFQB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7696 | PA      | $7426.19      | 0.00%             | 2033-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3.5% 02/01/2034#G16752                                                            | CUSIP: 3128MFWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59453 | PA      | $57315.77     | 0.01%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 1.5% 04/01/2036#SB8097                                                            | CUSIP: 3132D57J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46461 | PA      | $40920.21     | 0.01%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 05/01/2051#FM7352                                                            | CUSIP: 3140XBE22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    927948 | PA      | $768015.79    | 0.11%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 3.9% 04/25/2028                                              | CUSIP: 3137FEZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $495134.90    | 0.07%             | 2028-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 10/01/2048#ZM8580                                                              | CUSIP: 3131Y3Q90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215033 | PA      | $200010.16    | 0.03%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                       | GS MTG SECS TR 2018-GS10 A4 3.89% 07/10/2051                                                | CUSIP: 36250SAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $3087509.76   | 0.42%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 09/01/2041#FM8850                                                            | CUSIP: 3140XCZQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535670 | PA      | $468916.00    | 0.06%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST 2024-A                          | MERCEDES-BENZ AUTO LEASE TRUST 2024-A 5.32% 01/18/2028                                      | CUSIP: 58770JAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    290000 | PA      | $293050.95    | 0.04%             | 2028-01-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 03/01/2046#G60440                                                            | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    792296 | PA      | $723514.15    | 0.10%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                 | FHLMC REMI 30YR 5.5% 04/01/2055#RJ4005                                                      | CUSIP: 3142GUNX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1198701 | PA      | $1189311.59   | 0.16%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C6 MTG TR                                            | BMO 2024-5C6 MTG TR 5.3161% 09/15/2057                                                      | CUSIP: 05593QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1218731.40   | 0.17%             | 2057-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-GRP                               | WELLS FARGO COML MTG 2024-GRP A TSFR1M+179.132 10/15/2041 144A                              | CUSIP: 95003YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    638000 | PA      | $640169.97    | 0.09%             | 2041-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 4% 12/25/2048                                                | CUSIP: 3136BNE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    198746 | PA      | $192911.91    | 0.03%             | 2048-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 11/01/2041#CB2110                                                              | CUSIP: 3140QMKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347912 | PA      | $293517.55    | 0.04%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B12 MTG TR                                      | BENCHMARK 2019-B12 MTG TR VAR/1.207 08/15/2052 144A                                         | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    874086 | PA      | $24980.85     | 0.00%             | 2052-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                     | FANNIEMAE 30YR 2% 03/01/2052#                                                               | CUSIP: 3140W04U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1884029 | PA      | $1473655.72   | 0.20%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 1.5% 12/01/2050#QB7301                                                            | CUSIP: 3133AEDE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56461 | PA      | $42219.97     | 0.01%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 10/01/2047#CA0526                                                            | CUSIP: 3140Q7SQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236768 | PA      | $215485.97    | 0.03%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 01/01/2052#SD4401                                                            | CUSIP: 3132E03J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87969 | PA      | $72449.81     | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 1.5% 11/01/2041#MA4473                                                            | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1914180 | PA      | $1564896.37   | 0.21%             | 2041-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 07/01/2047#FM3371                                                            | CUSIP: 3140X6W98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    843844 | PA      | $830070.05    | 0.11%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 10/01/2051#FM9210                                                              | CUSIP: 3140XDGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1549251 | PA      | $1332631.52   | 0.18%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 05/01/2051#BT0330                                                            | CUSIP: 3140LNLL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391394 | PA      | $322591.96    | 0.04%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 11/01/2051#FM9501                                                            | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1850020 | PA      | $1530011.48   | 0.21%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6% 06/01/2053#CB6538                                                              | CUSIP: 3140QSHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    870443 | PA      | $888612.24    | 0.12%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5.5% 02/01/2054#SD4976                                                            | CUSIP: 3132DSQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    281501 | PA      | $279295.88    | 0.04%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY562349 11/18/64 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    300000 | NC      | $49638.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 2.5% 08/20/2051#785602                                                              | CUSIP: 3622ABDF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3291287 | PA      | $2734929.93   | 0.37%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 11/01/2047#ZM4743                                                              | CUSIP: 3131XYHU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52485 | PA      | $45761.84     | 0.01%             | 2047-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2% 07/01/2041#SC0162                                                              | CUSIP: 3132D9FB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1517239 | PA      | $1291209.73   | 0.18%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2022-RPL1                             | BRAVO RESIDENTIAL FDG TR 2022-RPL1 2.75% 09/25/2061 144A                                    | CUSIP: 10569XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    877996 | PA      | $792685.52    | 0.11%             | 2061-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 2.5% 09/20/2051#785616                                                              | CUSIP: 3622ABDV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1473116 | PA      | $1224101.17   | 0.17%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5.5% 09/01/2052#FS2960                                                            | CUSIP: 3140XJJE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520470 | PA      | $519971.71    | 0.07%             | 2052-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 10/01/2040#FM4644                                                              | CUSIP: 3140X8ES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40374 | PA      | $34479.70     | 0.00%             | 2040-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4.5% 07/01/2047#Q49499                                                            | CUSIP: 3132WPRV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14522 | PA      | $13981.28     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 11/01/2049#SD7507                                                              | CUSIP: 3132DVKU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1018703 | PA      | $887248.75    | 0.12%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                          | BOAM SWAP PAY 4.07 12/19/29                                                                 | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   6940000 | NC      | $269125.22    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 09/01/2041#FM8862                                                              | CUSIP: 3140XCZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269059 | PA      | $226956.31    | 0.03%             | 2041-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-L2                                | MORGAN STANLEY CAP I TR 2019-L2 A3 3.806% 03/15/2052                                        | CUSIP: 61768HAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    449297 | PA      | $431729.19    | 0.06%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 6.5% 06/01/2055 #TBA                                                              | CUSIP: 01F062663<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13800000 | PA      | $14170868.10  | 1.94%             | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 1.5% 03/01/2051#SD8133                                                            | CUSIP: 3132DWBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1108991 | PA      | $820269.16    | 0.11%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2015-GC33                                | CITIGROUP COML MTG TR 2015-GC33 AAB 3.522% 09/10/58                                         | CUSIP: 29425AAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5631 | PA      | $5623.49      | 0.00%             | 2058-09-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 4% 05/01/2038#C91994                                                              | CUSIP: 3128P8GB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243962 | PA      | $233762.35    | 0.03%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2019                                                      | BANK 2019 2.846% 12/15/2052                                                                 | CUSIP: 06541RAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91426 | PA      | $87708.87     | 0.01%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 3.85% 05/25/2028                                             | CUSIP: 3137FG6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1600000 | PA      | $1582100.80   | 0.22%             | 2028-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                   | Fidelity Cash Central Fund                                                                  | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  36102505 | NS      | $36109725.62  | 4.95%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII 15YR 3% 12/20/2031#MA4102                                                              | CUSIP: 36179SRX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110401 | PA      | $106837.92    | 0.01%             | 2031-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                          | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+80.358 21 10/15/2036 144A                      | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475000 | PA      | $472925.11    | 0.06%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 5% 06/01/2055 #TBA                                                                  | CUSIP: 21H050664<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1425000 | PA      | $-1382721.11  | -0.19%            | 2055-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 10/01/2039#AL0939                                                            | CUSIP: 3138EHBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    559012 | PA      | $550332.34    | 0.08%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 1.5% 11/25/2040                                              | CUSIP: 3137F6YK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   1283141 | PA      | $1055458.04   | 0.14%             | 2040-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2% 05/01/2041#RB5111                                                              | CUSIP: 3133KYVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175735 | PA      | $148835.19    | 0.02%             | 2041-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DLLAD 2024-1 LLC                                               | DLLAD 2024-1 LLC 5.3% 07/20/2029 144A                                                       | CUSIP: 23346MAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     82000 | PA      | $83142.59     | 0.01%             | 2029-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 05/01/2052#RA7375                                                              | CUSIP: 3133KPFQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    906065 | PA      | $779235.21    | 0.11%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.00% 10/40 #004833                                                                 | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13123 | PA      | $12582.87     | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 02/01/2051#FM6338                                                              | CUSIP: 3140XABG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17105 | PA      | $13416.73     | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 12/01/2051#QD3168                                                              | CUSIP: 3133B0QV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    235785 | PA      | $186195.64    | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 1.5% 01/01/2036#SB8083                                                            | CUSIP: 3132D56U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    575845 | PA      | $507892.75    | 0.07%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6% 07/01/2054#CB8857                                                              | CUSIP: 3140QUZX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1043090 | PA      | $1055736.18   | 0.14%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                            | GSCOFI SWAP CY885799 12/15/56 S                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |   2800000 | NC      | $-49020.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 3% 08/25/2046                                                | CUSIP: 3136BL5X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    256771 | PA      | $238271.44    | 0.03%             | 2046-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 01/01/2052#QD4275                                                              | CUSIP: 3133B1XC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194339 | PA      | $166983.90    | 0.02%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 11/01/2041#CB2113                                                            | CUSIP: 3140QMK37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86349 | PA      | $75805.78     | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 10/01/2051#BU1269                                                              | CUSIP: 3140M2MT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    592943 | PA      | $469348.71    | 0.06%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5% 04/01/2053#FS4829                                                              | CUSIP: 3140XLLK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313475 | PA      | $309421.46    | 0.04%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                              | SREIT TR 2021-MFP TSFR1M+84.528 08 11/15/2038 144A                                          | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1827836 | PA      | $1825550.84   | 0.25%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 11/01/2041#BU6530                                                              | CUSIP: 3140M8HG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182974 | PA      | $154307.94    | 0.02%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 09/01/2047#ZS4734                                                              | CUSIP: 3132A5HK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27603 | PA      | $24067.09     | 0.00%             | 2047-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 11/01/2041#FM9558                                                            | CUSIP: 3140XDTQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    637950 | PA      | $557161.12    | 0.08%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK26                                                | BANK 2020-BNK26 2.313% 03/15/2063                                                           | CUSIP: 06540JBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    870778 | PA      | $829202.02    | 0.11%             | 2063-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 1.5% 12/01/2040#RB5089                                                            | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70146 | PA      | $57919.12     | 0.01%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 10/01/2051#QC9113                                                              | CUSIP: 3133AUDS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    264553 | PA      | $209409.37    | 0.03%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                          | BOAM SWAP REC 3.63 10/30/25                                                                 | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  -2000000 | NC      | $-27080.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 4% 10/20/2052#MA8346                                                                | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3833531 | PA      | $3539343.26   | 0.49%             | 2052-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 06/01/2041#FM7891                                                              | CUSIP: 3140XBXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35253 | PA      | $30074.36     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5% 06/01/2053#MA5038                                                              | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87399 | PA      | $84841.56     | 0.01%             | 2053-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 1.5% 01/01/2041#MA4231                                                            | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116358 | PA      | $95999.60     | 0.01%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 10/20/2043#MA1375                                                              | CUSIP: 36179NQ43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2636 | PA      | $2421.40      | 0.00%             | 2043-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 1.5% 12/01/2040#MA4202                                                            | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113941 | PA      | $94082.78     | 0.01%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 12/01/2034#CA4890                                                              | CUSIP: 3140QCNG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17744 | PA      | $16931.18     | 0.00%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 2.5% 08/20/2051#785564                                                              | CUSIP: 3622ABB92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    861462 | PA      | $715841.33    | 0.10%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS          | GOVERNMENT NAT MTG ASSN HECM 2018-H12 HA 3.25% 08/20/2068                                   | CUSIP: 38380LGR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     33522 | PA      | $32517.93     | 0.00%             | 2068-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2025-BNK49                                                | BANK 2025-BNK49 5.623% 03/15/2058                                                           | CUSIP: 05494FBT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1746714.47   | 0.24%             | 2058-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 2.5% 07/01/2036#SB0535                                                            | CUSIP: 3132CWSY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221518 | PA      | $205630.40    | 0.03%             | 2036-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2% 10/01/2035#BK5705                                                              | CUSIP: 3140HKKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308326 | PA      | $280549.04    | 0.04%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CY451600 12/16/72 B                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |   1300000 | NC      | $-2366.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII 15YR 3% 09/20/2031#MA3913                                                              | CUSIP: 36179SK22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8677 | PA      | $8405.26      | 0.00%             | 2031-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 08/01/2031#BC2778                                                            | CUSIP: 3140EXCQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13251 | PA      | $12719.67     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 01/01/2051#MA4237                                                              | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    814791 | PA      | $637824.81    | 0.09%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WILLIS ENGINE STRUCTURED TR VII                                | WILLIS ENGINE STRUCTURED TR VII 23-A A 8% 10/15/2048 144A                                   | CUSIP: 97064YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    236825 | PA      | $241819.01    | 0.03%             | 2048-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 01/01/2048#CA0990                                                            | CUSIP: 3140Q8C45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252092 | PA      | $229196.64    | 0.03%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2.5% 08/01/2041#QK0985                                                            | CUSIP: 3133D4CW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78843 | PA      | $69415.52     | 0.01%             | 2041-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 12/01/2051#RA6510                                                              | CUSIP: 3133KNGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    521984 | PA      | $412202.17    | 0.06%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 12/01/2051#CB2350                                                              | CUSIP: 3140QMTG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    553136 | PA      | $434900.91    | 0.06%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4.5% 06/47#Q48876                                                                 | CUSIP: 3132WN2J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18358 | PA      | $17679.82     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 11/01/2050#SD8106                                                              | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1784570 | PA      | $1398091.57   | 0.19%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 6% 06/01/2055 #TBA                                                                  | CUSIP: 21H060663<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31400000 | PA      | $31704981.92  | 4.34%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 05/01/2041#FM7587                                                            | CUSIP: 3140XBND8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142583 | PA      | $125802.15    | 0.02%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                    | USTN TII 2.375% 02/15/2055                                                                  | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2890000 | PA      | $2786734.33   | 0.38%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 11/01/2047#CA1757                                                            | CUSIP: 3140Q85T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88693 | PA      | $80720.78     | 0.01%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 1.5% 04/01/2041#QK0705                                                            | CUSIP: 3133D3YA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    609684 | PA      | $502304.92    | 0.07%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2017                                     | CITIGROUP COML MTG TR 2017-P7 3.509% 04/14/2050                                             | CUSIP: 17325HBQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122249 | PA      | $121147.02    | 0.02%             | 2050-04-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 09/01/2051#QC7496                                                              | CUSIP: 3133ASKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97112 | PA      | $83442.48     | 0.01%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 01/01/2052#CB2695                                                              | CUSIP: 3140QM7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27363 | PA      | $25539.14     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                               | WHEELS FLEET LEASE FUNDING 1 LLC 4.87% 06/21/2039 144A                                      | CUSIP: 96328GBT3<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    402000 | PA      | $403086.77    | 0.06%             | 2039-06-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 12/01/2050#SD8115                                                              | CUSIP: 3132DWAQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    532473 | PA      | $458271.45    | 0.06%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 04/48#BK3801                                                                 | CUSIP: 3140HHGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42010 | PA      | $38155.02     | 0.01%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 02/52#RA6824                                                                   | CUSIP: 3133KNSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2536726 | PA      | $2003210.50   | 0.27%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 02/01/2036#FM5367                                                            | CUSIP: 3140X86D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33712 | PA      | $29733.71     | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 2.5% 08/20/2051#785575                                                              | CUSIP: 3622ABCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    519513 | PA      | $431695.06    | 0.06%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5.5% 08/01/2054#CB8984                                                            | CUSIP: 3140QU6W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472230 | PA      | $473843.52    | 0.06%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2024-B                                   | ARI FLEET LEASE TRUST 2024-B 5.54% 04/15/2033 144A                                          | CUSIP: 04033HAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     95445 | PA      | $95943.22     | 0.01%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2.5% 11/01/2041#QK1203                                                            | CUSIP: 3133D4KQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130088 | PA      | $114082.95    | 0.02%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2% 06/01/2035#BP5615                                                              | CUSIP: 3140KDGZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1201199 | PA      | $1095237.27   | 0.15%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 07/01/2041#CB1069                                                              | CUSIP: 3140QLFK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413878 | PA      | $351856.63    | 0.05%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                          | BOAM SWAP REC 3.95 04/29/30                                                                 | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2150000 | NC      | $75801.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+ 12/25/2054                                          | CUSIP: 3136BTF81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    326498 | PA      | $326092.09    | 0.04%             | 2054-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                              | CUSIP: 3137H5F77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    170750 | PA      | $150411.17    | 0.02%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.0% 08/20/2045#MA3035                                                              | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    383079 | PA      | $358948.61    | 0.05%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                               | WHEELS FLEET LEASE FUNDING 1 LLC 24-1A A1 5.49% 02/18/2039 144A                             | CUSIP: 96328GBM8<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |   1116147 | PA      | $1125889.74   | 0.15%             | 2039-02-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 09/01/2048#ZM8169                                                              | CUSIP: 3131Y3CE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    238302 | PA      | $221877.32    | 0.03%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANKERS HEALTHCARE GROUP SECURITIZATION TRUST                  | BANKERS HEALTHCARE GROUP SECURITIZATION TRUST 4.82% 04/17/2036 144A                         | CUSIP: 08860AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    837760 | PA      | $835961.26    | 0.11%             | 2036-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY451600 12/16/72 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   1020000 | NC      | $-1857.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 07/01/2051#CB1142                                                              | CUSIP: 3140QLHU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    697736 | PA      | $601703.36    | 0.08%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 04/01/2052#CB3331                                                            | CUSIP: 3140QNVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4670374 | PA      | $4199501.03   | 0.58%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 07/01/2043#ZS3792                                                            | CUSIP: 3132A4F94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53062 | PA      | $46137.23     | 0.01%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 03/01/2040#MA3965                                                            | CUSIP: 31418DMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18510 | PA      | $16427.97     | 0.00%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 6/1/52#CB3785                                                                  | CUSIP: 3140QPF36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    411177 | PA      | $379785.62    | 0.05%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                     | FANNIEMAE 30YR 2.5% 04/01/2052#FA0063                                                       | CUSIP: 3140W0B95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425850 | PA      | $351922.23    | 0.05%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OPEN TR 2023-AIR                                               | OPEN TR 2023-AIR TSFR1M+308.92 10/15/2028 144A                                              | CUSIP: 68373BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80813 | PA      | $81036.95     | 0.01%             | 2040-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA GTD MTG PASS THRU CTF SOFR30A+120 02/25/2055                                           | CUSIP: 3136BUVN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1047649 | PA      | $1044498.66   | 0.14%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 10/01/2037#BM1951                                                            | CUSIP: 3140J6EZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57389 | PA      | $52160.31     | 0.01%             | 2037-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 03/01/2033#ZS8690                                                              | CUSIP: 3132A9UP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32356 | PA      | $31195.91     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 12/01/2035#FM4701                                                            | CUSIP: 3140X8GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16412 | PA      | $14474.98     | 0.00%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 11/01/2051#QD0399                                                              | CUSIP: 3133AWNQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86382 | PA      | $68214.64     | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA GTD MTG PASS THRU CTF SOFR30A+115 02/25/2055                                           | CUSIP: 3136BUWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    421001 | PA      | $419859.59    | 0.06%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 6% 09/01/2039#SB1334                                                              | CUSIP: 3132CXPT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12109614 | PA      | $12466262.21  | 1.71%             | 2039-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5% 12/01/2052#RA8291                                                              | CUSIP: 3133KQF84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    506585 | PA      | $496077.48    | 0.07%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2% 07/01/2055 #TBA                                                                  | CUSIP: 21H020675<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8700000 | PA      | $6988791.78   | 0.96%             | 2055-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                  | BROOKFIELD 2024-MF23 A TSFR1M+149.177 06/15/2041 144A                                       | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313000 | PA      | $313195.63    | 0.04%             | 2041-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 03/01/2051#RA4749                                                            | CUSIP: 3133KLH26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    618590 | PA      | $509462.95    | 0.07%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 03/01/2033#BM4614                                                              | CUSIP: 3140J9DU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21987 | PA      | $21279.45     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2024-1                                  | MARLETTE FUNDING TRUST 2024-1 5.95% 07/17/2034 144A                                         | CUSIP: 57108VAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20828 | PA      | $20860.44     | 0.00%             | 2034-07-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2025-B OWNER TR                        | TOYOTA AUTO RECEIVABLES 2025-B OWNER TR 4.34% 11/15/2029                                    | CUSIP: 89231HAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2100000 | PA      | $2101299.48   | 0.29%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1                 | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 4.69% 04/15/2030                             | CUSIP: 30185AAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     70000 | PA      | $69901.01     | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+150 11/25/2053                                       | CUSIP: 3136BQVT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    689635 | PA      | $694245.47    | 0.10%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VERD 2025-1A A2                                                | VERD 2025-1A A2 4.85% 03/13/2028 144A                                                       | CUSIP: 92340GAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    230000 | PA      | $230200.19    | 0.03%             | 2028-03-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII 15YR 3% 05/20/2031#MA3639                                                              | CUSIP: 36179SBG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141567 | PA      | $137311.32    | 0.02%             | 2031-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2.5% 02/01/2042#SC0248                                                            | CUSIP: 3132D9HZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    301366 | PA      | $264546.06    | 0.04%             | 2042-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 3.9% 08/25/2028                                              | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $297035.85    | 0.04%             | 2028-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 11/01/2051#FM9633                                                              | CUSIP: 3140XDV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1226031 | PA      | $1054604.78   | 0.14%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 08/01/2041#FM8410                                                              | CUSIP: 3140XCKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51880 | PA      | $43814.66     | 0.01%             | 2041-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                              | CUSIP: 3137H5KC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    612003 | PA      | $543360.37    | 0.07%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                          | BOAM SWAP PAY 3.63 10/30/25                                                                 | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  -2000000 | NC      | $-63239.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 11/01/2050#SD8108                                                              | CUSIP: 3132DWAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65051 | PA      | $55985.98     | 0.01%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 08/01/2051#CB1331                                                            | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1364164 | PA      | $1123081.39   | 0.15%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                        | FHLM 30YR 5.5% 08/01/2053#RA9619                                                            | CUSIP: 3133KRVL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1217970 | PA      | $1219087.73   | 0.17%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRMI SECURITIZATION TR 2024-CMG1                               | PRMI SECURITIZATION TR 2024-CMG1 SOFR30A+130 07/25/2054 144A                                | CUSIP: 74275VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    594578 | PA      | $590990.04    | 0.08%             | 2054-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 2.031% 09/25/2028                                            | CUSIP: 3137H4BY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $839604.33    | 0.12%             | 2028-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6% 11/01/2053#FS6498                                                              | CUSIP: 3140XNGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1469982 | PA      | $1494308.10   | 0.20%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 11/01/2031#MA2803                                                            | CUSIP: 31418CDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99200 | PA      | $95012.73     | 0.01%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                          | LCH OIS SOFRV3.25% MAC 06/18/27                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -25168000 | NC      | $105494.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 11/01/2051#RA6334                                                              | CUSIP: 3133KNBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    248517 | PA      | $194696.73    | 0.03%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CY451600 12/16/72 B                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |   1410000 | NC      | $-2567.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                        | FHLM 30YR 6% 06/01/2053#RA9276                                                              | CUSIP: 3133KRJV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    481164 | PA      | $491207.51    | 0.07%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2% 12/01/2035#MA4206                                                              | CUSIP: 31418DU83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2051037 | PA      | $1866262.89   | 0.26%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 1.5% 08/01/2035#SB8066                                                            | CUSIP: 3132D56B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    353573 | PA      | $313175.73    | 0.04%             | 2035-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 12/01/2042#AB7124                                                            | CUSIP: 31417D4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9504 | PA      | $8811.47      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 2.5% 10/25/2047                                              | CUSIP: 3137H62Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    138872 | PA      | $122644.59    | 0.02%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                        | FHLM 30YR 6% 06/01/2054#RJ1709                                                              | CUSIP: 3142GR3T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6153630 | PA      | $6282076.06   | 0.86%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                         | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP TSFR1M+123.468 02 11/15/2036 144A                    | CUSIP: 26863LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    661230 | PA      | $658957.36    | 0.09%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 07/01/2051#CB1110                                                              | CUSIP: 3140QLGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33993 | PA      | $26631.47     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 03/01/2052#FA0995                                                              | CUSIP: 3140W1C92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1026163 | PA      | $807137.28    | 0.11%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                        | FHLM 30YR 6.5% 01/01/2055#RJ3341                                                            | CUSIP: 3142GTWB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    569034 | PA      | $594563.95    | 0.08%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                          | BOAM SWAP REC 4.065 05/02/30                                                                | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3470000 | NC      | $130462.87    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 07/01/2050#SD7521                                                            | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220284 | PA      | $183281.91    | 0.03%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 07/01/2051#RA5574                                                            | CUSIP: 3133KMFP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1098851 | PA      | $908776.74    | 0.12%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                             | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+179.391 05/15/2039 144A                           | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $364000.00    | 0.05%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                     | FANNIEMAE 30YR 5.5% 02/01/2055#FA0629                                                       | CUSIP: 3140W0VX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5446562 | PA      | $5436751.03   | 0.75%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 12/01/2049#FM2077                                                              | CUSIP: 3140X5JX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2146426 | PA      | $1867436.97   | 0.26%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 04/01/2049#FM1277                                                              | CUSIP: 3140X4M37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82450 | PA      | $76314.01     | 0.01%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 11/01/2051#                                                                  | CUSIP: 3140QMKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    704217 | PA      | $628816.06    | 0.09%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 3% 01/25/2049                                                | CUSIP: 3137H5ZA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    124322 | PA      | $112338.46    | 0.02%             | 2049-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 1.5% 06/01/2051#QC3131                                                            | CUSIP: 3133AMPQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44929 | PA      | $33639.04     | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 01/01/2052#FS0286                                                              | CUSIP: 3140XFJ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2452989 | PA      | $1937084.26   | 0.27%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 4% 05/20/2049#BN2615                                                                | CUSIP: 3617K53Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98782 | PA      | $91077.99     | 0.01%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 09/01/2051#CB1703                                                              | CUSIP: 3140QL3M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28972 | PA      | $27050.07     | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 07/01/2052#QE5952                                                            | CUSIP: 3133BFTH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52330 | PA      | $46497.98     | 0.01%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 04/01/2051#FM6944                                                              | CUSIP: 3140XAWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    841291 | PA      | $664616.69    | 0.09%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B14 MTG TR                                      | BENCHMARK 2019-B14 MTG TR CSTR 12/15/2062                                                   | CUSIP: 08162YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8884466 | PA      | $189660.25    | 0.03%             | 2062-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 11/01/2048#ZN1277                                                              | CUSIP: 3131Y7M20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42632 | PA      | $39666.84     | 0.01%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 10/01/2049#CA4406                                                              | CUSIP: 3140QB3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251038 | PA      | $218330.14    | 0.03%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2023-3 LLC                               | ENTERPRISE FLEET FING 2023-3 LLC 6.4% 03/20/2030 144A                                       | CUSIP: 29374LAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    243466 | PA      | $247015.40    | 0.03%             | 2030-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2.5% 09/01/2041#SC0185                                                            | CUSIP: 3132D9F25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174333 | PA      | $153313.77    | 0.02%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 2.5% 12/20/2051#785792                                                              | CUSIP: 3622ABKD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    616344 | PA      | $512157.54    | 0.07%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 12/01/2051#CB2349                                                              | CUSIP: 3140QMTF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1765367 | PA      | $1394081.20   | 0.19%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 04/01/2050#SD0516                                                              | CUSIP: 3132DMSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    625703 | PA      | $539682.14    | 0.07%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                        | MNGT SWAP CZ030008 12/17/57 B                                                               | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $7643.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 10/01/2041#BQ6615                                                              | CUSIP: 3140KSK55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178001 | PA      | $150181.46    | 0.02%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 10/01/2051#QD0109                                                              | CUSIP: 3133AWDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97986 | PA      | $77377.84     | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 05/01/2051#RA5287                                                              | CUSIP: 3133KL2U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81722 | PA      | $64100.47     | 0.01%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 04/01/2034#G16829                                                              | CUSIP: 3128MFY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16875 | PA      | $16162.96     | 0.00%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 12/01/2050#MA4208                                                              | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397528 | PA      | $311436.64    | 0.04%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 03/01/2050#BP2186                                                              | CUSIP: 3140K9NC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1022294 | PA      | $887181.44    | 0.12%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 21-66 DA 2% 01/25/2048                                       | CUSIP: 3136BG6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    272863 | PA      | $223158.48    | 0.03%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 5% 06/01/2055 #TBA                                                                | CUSIP: 01F050668<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9500000 | PA      | $9198298.05   | 1.26%             | 2055-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 05/01/2040#MA4016                                                            | CUSIP: 31418DPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73585 | PA      | $65174.98     | 0.01%             | 2040-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 02/01/2051#SD7532                                                              | CUSIP: 3132DVLM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1809840 | PA      | $1437118.33   | 0.20%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 1.85% 05/25/2033                                             | CUSIP: 3136ADB57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     68498 | PA      | $62749.03     | 0.01%             | 2033-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                         | US 2YR NOTE (CBT) FUT SEP25 TUU5                                                            | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       276 | NC      | $107300.44    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                          | LCH OIS SOFRV3.25% MAC 06/18/29                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -34225000 | NC      | $33719.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                            | GSCOFI SWAP CZ030008 12/17/57 B                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $7643.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2% 11/01/2041#QK1180                                                              | CUSIP: 3133D4JZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    320040 | PA      | $269738.56    | 0.04%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 5% 04/25/2048                                                | CUSIP: 3137H8BP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    290963 | PA      | $290693.39    | 0.04%             | 2048-04-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 02/01/2033#BM5108                                                              | CUSIP: 3140J9VA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144551 | PA      | $139529.36    | 0.02%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2023-4                                    | CARMAX AUTO OWNER TR 2023-4 6% 07/17/2028                                                   | CUSIP: 14318XAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    234000 | PA      | $237310.56    | 0.03%             | 2028-07-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2018-C8                                 | JPMDB COML MTG SECS TR 2018-C8 4.145% 06/15/2051                                            | CUSIP: 46591ABB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    593083 | PA      | $588337.15    | 0.08%             | 2051-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 6.5% 07/01/2055 #TBA                                                              | CUSIP: 01F062671<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3250000 | PA      | $3334295.25   | 0.46%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                               | BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+155 01/15/2039 144A                                 | CUSIP: 05530SAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90691 | PA      | $89953.75     | 0.01%             | 2039-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 4.5% 06/01/2055 #TBA                                                              | CUSIP: 01F042665<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -9825000 | PA      | $-9270813.02  | -1.27%            | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 10/01/2041#                                                                    | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18077 | PA      | $15252.78     | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 09/01/2051#QC7468                                                              | CUSIP: 3133ASJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    493049 | PA      | $390276.94    | 0.05%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MORTAGE TR 2024-MGP                           | WELLS FARGO COML MORTAGE TR 2024-MGP TSFR1M+199.073 08/15/2041 144A                         | CUSIP: 95003TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $399023.76    | 0.05%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.0% 09/45#MA3106                                                                   | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1933 | PA      | $1811.52      | 0.00%             | 2045-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 04/01/2050#BK2249                                                              | CUSIP: 3140HFQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1051620 | PA      | $912631.22    | 0.13%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2.5% 05/01/2041#SC0237                                                            | CUSIP: 3132D9HN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    645013 | PA      | $570025.04    | 0.08%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK33                                                | BANK 2021-BNK33 VAR 05/15/2064                                                              | CUSIP: 06541CBR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2992970 | PA      | $126446.42    | 0.02%             | 2064-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 08/01/2051#SD8163                                                            | CUSIP: 3132DWB85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1173098 | PA      | $1047126.82   | 0.14%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL LEASING TRUST 2023-3                              | GM FINANCIAL LEASING TRUST 2023-3 5.38% 11/20/2026                                          | CUSIP: 379929AD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     74338 | PA      | $74486.01     | 0.01%             | 2026-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3% 06/01/2055 #TBA                                                                  | CUSIP: 21H030666<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22825000 | PA      | $19891907.61  | 2.73%             | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 21-96 HA 2.5% 02/25/2050                                     | CUSIP: 3136BKWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    377375 | PA      | $321556.49    | 0.04%             | 2050-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 11/32#BJ6650                                                                   | CUSIP: 3140H8L86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12025 | PA      | $11603.27     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2024-CP1                                       | NYMT LOAN TRUST 2024-CP1 3.75% 02/25/2068 144A                                              | CUSIP: 67118PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    351358 | PA      | $323548.30    | 0.04%             | 2068-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 01/01/2051#FM5651                                                            | CUSIP: 3140X9H57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223495 | PA      | $184067.62    | 0.03%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2017-HR2                               | MORGAN STANLEY CAP I TR 2017-HR2 3.33% 12/15/2050                                           | CUSIP: 61691NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    297104 | PA      | $286590.66    | 0.04%             | 2050-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 08/01/2051#SD2230                                                              | CUSIP: 3132DPPP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155276 | PA      | $121648.74    | 0.02%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-MDHS                                       | BX COML MTG TR 2024-MDHS 6.8415% 05/15/2041 144A                                            | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580765 | PA      | $581491.29    | 0.08%             | 2041-05-15      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 11/01/2051#MA4466                                                            | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2201694 | PA      | $1802277.49   | 0.25%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                          | BOAM SWAP PAY 4.01 05/07/30                                                                 | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2810000 | NC      | $117489.22    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING                                           | STORE MASTER FUNDING 2.12% 06/20/2051 144A                                                  | CUSIP: 86190BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    784333 | PA      | $721368.12    | 0.10%             | 2051-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 12/01/2051#FM9777                                                              | CUSIP: 3140XD2K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252129 | PA      | $216875.85    | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5% 12/01/2052#SD1924                                                              | CUSIP: 3132DPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    982693 | PA      | $962309.38    | 0.13%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 11/01/2035#CA7953                                                            | CUSIP: 3140QFZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    328487 | PA      | $289724.08    | 0.04%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 06/01/2048#BM4426                                                            | CUSIP: 3140J84L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1462180 | PA      | $1324813.97   | 0.18%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 1.5% 10/25/2051                                              | CUSIP: 3136BJHA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    251449 | PA      | $211561.08    | 0.03%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 2% 02/25/2048                                                | CUSIP: 3136BLFC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    651893 | PA      | $569943.68    | 0.08%             | 2048-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 02/20/2043#MA0783                                                              | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2589 | PA      | $2388.82      | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 1.5% 05/01/2036#BR1069                                                            | CUSIP: 3140KYFK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47816 | PA      | $42113.70     | 0.01%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BX 2021-MFM1                                                   | BX 2021-MFM1 A TSFR1M+81.448 01/15/2034 144A                                                | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123443 | PA      | $123365.79    | 0.02%             | 2034-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                     | FANNIEMAE 30YR 2.5% 06/01/2052#FA0543                                                       | CUSIP: 3140W0S97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1507086 | PA      | $1249693.54   | 0.17%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2                              | ENTERPRISE FLEET FINANCING 2024-2 5.61% 04/20/2028 144A                                     | CUSIP: 29375RAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    171000 | PA      | $173603.58    | 0.02%             | 2028-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CY451600 12/16/72 S                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |   2060000 | NC      | $3750.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 07/01/2034#FM8940                                                              | CUSIP: 3140XC5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129610 | PA      | $126131.97    | 0.02%             | 2034-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 3.5% 07/01/2055 #TBA                                                              | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4700000 | PA      | $4168126.38   | 0.57%             | 2055-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 10/01/2041#FM9396                                                              | CUSIP: 3140XDNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    850216 | PA      | $716283.87    | 0.10%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII 15YR 3% 11/20/2031#MA4044                                                              | CUSIP: 36179SP50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71744 | PA      | $69428.36     | 0.01%             | 2031-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                         | BX COMMERCIAL MORTGAGE TRUST 22-LP2 A TSFR1M+96.27 02/15/2039 144A                          | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138258 | PA      | $137998.90    | 0.02%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 04/01/2036#FM6100                                                            | CUSIP: 3140X9X67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46248 | PA      | $40732.54     | 0.01%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 1.5% 07/01/2036#SB8110                                                            | CUSIP: 3132D6AK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40892 | PA      | $35951.70     | 0.00%             | 2036-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 1.5% 10/25/2051                                              | CUSIP: 3137H2UC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    249758 | PA      | $209548.95    | 0.03%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 02/01/2036#MA4260                                                            | CUSIP: 31418DWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35974 | PA      | $31728.95     | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR 2024-X1                         | AFFIRM ASSET SECURITIZATION TR 2024-X1 6.27% 05/15/2029 144A                                | CUSIP: 00834XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     24027 | PA      | $24053.54     | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD         | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 1.5% 11/25/2051                      | CUSIP: 3137H3V82<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    317091 | PA      | $266638.46    | 0.04%             | 2051-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2013-GC13                                       | GS MTG SECS TR 2013-GC13 AS CSTR 07/10/2046 144A                                            | CUSIP: 36198EAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42312 | PA      | $41571.60     | 0.01%             | 2046-07-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2.5% 04/20/2052#                                                                    | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    512389 | PA      | $429698.05    | 0.06%             | 2052-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 3.187% 09/25/2027                                            | CUSIP: 3137FBU79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    688098 | PA      | $672043.46    | 0.09%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB13 LLC                                             | CFMT 2024-HB13 LLC VAR 05/25/2034 144A                                                      | CUSIP: 12530VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    145967 | PA      | $143132.60    | 0.02%             | 2034-05-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6.5% 11/01/2053#CB7520                                                            | CUSIP: 3140QTLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    824176 | PA      | $854071.41    | 0.12%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2.5% 07/01/2055 #TBA                                                                | CUSIP: 21H022671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9250000 | PA      | $7748923.88   | 1.06%             | 2055-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 05/01/2042#RB0710                                                            | CUSIP: 3133KTYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50293 | PA      | $44001.70     | 0.01%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 2.5% 03/01/2033#G18680                                                            | CUSIP: 3128MMXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18439 | PA      | $17570.78     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                          | BOAM SWAP REC 4.07 12/19/29                                                                 | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   6940000 | NC      | $260828.24    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS9                                        | GS MTG SECS TR 2018-GS9 3.992% 03/10/2051                                                   | CUSIP: 36255NAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $293494.83    | 0.04%             | 2051-03-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 02/01/2051#SD7535                                                            | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1707047 | PA      | $1418171.05   | 0.19%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 08/01/2049#FM1338                                                            | CUSIP: 3140X4PY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1036892 | PA      | $992120.17    | 0.14%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 1.5% 11/01/2040#MA4175                                                            | CUSIP: 31418DT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112500 | PA      | $92972.05     | 0.01%             | 2040-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5.5% 08/01/2053#CB6911                                                            | CUSIP: 3140QSVD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    469520 | PA      | $470244.65    | 0.06%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 10/01/2050#SD7525                                                            | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1202901 | PA      | $1000467.09   | 0.14%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5% 12/01/2052#CB5273                                                              | CUSIP: 3140QQ2F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427974 | PA      | $419096.75    | 0.06%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY885802 12/15/56 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    100000 | NC      | $13019.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DLLAA 2023-1A                                                  | DLLAA 2023-1A 5.64% 02/22/2028 144A                                                         | CUSIP: 23292HAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    102000 | PA      | $103152.71    | 0.01%             | 2028-02-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 1.5% 11/01/2035#SB8073                                                            | CUSIP: 3132D56J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    436096 | PA      | $384634.56    | 0.05%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6% 11/01/2054#CB9501                                                              | CUSIP: 3140QVRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    478763 | PA      | $490551.29    | 0.07%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                            | GSCOFI SWAP CY873248 04/17/65 B                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     80000 | NC      | $13639.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 03/01/2052#SD8199                                                              | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148492 | PA      | $115683.79    | 0.02%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 05/01/2052#MA4600                                                            | CUSIP: 31418EDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    863286 | PA      | $767885.32    | 0.11%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 12/34#FM0045                                                                   | CUSIP: 3140X3BP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22074 | PA      | $21028.06     | 0.00%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 11/01/2051#                                                                    | CUSIP: 3140XDKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18398 | PA      | $15922.93     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 01/20/2044#MA1600                                                              | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4244 | PA      | $3892.82      | 0.00%             | 2044-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 6% 05/01/2054#SD7570                                                              | CUSIP: 3132DVMT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1243830 | PA      | $1274068.15   | 0.17%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 22-53 FG SOFR30A+80 08/25/2052                               | CUSIP: 3136BNS31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    909497 | PA      | $881875.89    | 0.12%             | 2052-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6% 10/01/2054#CB9336                                                              | CUSIP: 3140QVLS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1055394 | PA      | $1081051.07   | 0.15%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 03/01/2052#RA6988                                                              | CUSIP: 3133KNXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    426136 | PA      | $365154.23    | 0.05%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-A  | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-A 4.63% 07/20/2027 144A         | CUSIP: 858928AB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3700000 | PA      | $3700741.85   | 0.51%             | 2027-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5% 12/01/2052#RA8292                                                              | CUSIP: 3133KQF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    471736 | PA      | $461950.76    | 0.06%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 03/01/2050#SD8049                                                            | CUSIP: 3132DV5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    762883 | PA      | $629969.33    | 0.09%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST 2024-A                       | AFFIRM ASSET SECURITIZATION TRUST 2024-A 5.61% 02/15/2029 144A                              | CUSIP: 00834BAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $401651.04    | 0.06%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 12/20/2041#005258                                                              | CUSIP: 36202FZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1989 | PA      | $1843.20      | 0.00%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLOX 2021-BLOX                                                 | BLOX 2021-BLOX A TSFR1M+86.448 09/15/2026 144A                                              | CUSIP: 055522AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    531000 | PA      | $524097.74    | 0.07%             | 2026-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4% 05/46#MA3664                                                                     | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19898 | PA      | $18613.21     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2023-C                       | WORLD OMNI AUTO RECEIVABLES TRUST 2023-C 5.15% 11/15/2028                                   | CUSIP: 98164FAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    130000 | PA      | $130441.19    | 0.02%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5% 09/01/2052#BW9350                                                              | CUSIP: 3140N2L82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34963 | PA      | $34532.68     | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4% 11/20/2042#MA0535                                                                | CUSIP: 36179MSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63500 | PA      | $60605.23     | 0.01%             | 2042-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 04/01/2045#FM2986                                                              | CUSIP: 3140X6J85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2467053 | PA      | $2325754.37   | 0.32%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2% 07/01/2041#                                                                    | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17656 | PA      | $14928.22     | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 10/01/2051#QC9114                                                              | CUSIP: 3133AUDT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    281445 | PA      | $222252.16    | 0.03%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                 | CITI SWAP PAY 4.01 12/20/29                                                                 | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2000000 | NC      | $79769.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 1.5% 02/01/2041#RB5099                                                            | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119445 | PA      | $98451.78     | 0.01%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK14                                                | BANK 2018-BNK14 4.185% 09/15/2060                                                           | CUSIP: 06035RAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191946 | PA      | $190564.31    | 0.03%             | 2060-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 2% 07/01/2055 #TBA                                                                | CUSIP: 01F020679<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  60875000 | PA      | $47344575.51  | 6.49%             | 2055-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 03/20/2043 #MA1090                                                             | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31217 | PA      | $28770.79     | 0.00%             | 2043-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 05/01/2051#CB0443                                                            | CUSIP: 3140QKP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1490850 | PA      | $1236230.39   | 0.17%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 4.5% 05/01/2039#FM1194                                                            | CUSIP: 3140X4KG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380888 | PA      | $374321.00    | 0.05%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 01/01/2049#BN2228                                                            | CUSIP: 3140JJPN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82901 | PA      | $79321.52     | 0.01%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 01/01/2050#FS3728                                                            | CUSIP: 3140XKEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1578614 | PA      | $1459177.52   | 0.20%             | 2050-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONITY LOAN INVESTMENT TRUST 2024-HB2                           | ONITY LOAN INVESTMENT TRUST 2024-HB2 A 5% 08/25/2037 144A                                   | CUSIP: 68278DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    258159 | PA      | $257159.11    | 0.04%             | 2037-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 10/01/2053#SD4820                                                              | CUSIP: 3132DSK92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42218 | PA      | $35965.58     | 0.00%             | 2053-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 5180 KA 2.5% 10/25/2047                                      | CUSIP: 3137H5BG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    274029 | PA      | $241585.45    | 0.03%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL2 LLC                                             | PRPM 2024-RPL2 A1 LLC VAR 05/25/2054 144A                                                   | CUSIP: 69381DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    551054 | PA      | $530815.13    | 0.07%             | 2054-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP PAY 3.87 11/07/29                                                                 | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |   3100000 | NC      | $129359.34    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 01/01/2045#G61419                                                            | CUSIP: 31335BSG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11574 | PA      | $10722.36     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 09/46#BC2843                                                                   | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43506 | PA      | $40833.61     | 0.01%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 3.5% 06/01/2055 #TBA                                                              | CUSIP: 01F032666<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10000000 | PA      | $8870308.00   | 1.22%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK10                                                | BANK 2017-BNK4 3.428% 02/15/2061                                                            | CUSIP: 065404BA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227674 | PA      | $221275.64    | 0.03%             | 2061-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP REC 4.075 04/24/30                                                                | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |   3400000 | NC      | $128465.80    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| AMUR EQUIP FIN RECEIVABLES XV LLC                              | AMUR EQUIP FIN RECEIVABLES XV LLC 4.7% 09/22/2031 144A                                      | CUSIP: 03237FAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    780000 | PA      | $781628.72    | 0.11%             | 2031-09-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 1.5% 01/01/2051#SD8120                                                            | CUSIP: 3132DWAV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1044786 | PA      | $772779.77    | 0.11%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.0% 01/46#MA3377                                                                   | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8674 | PA      | $8113.83      | 0.00%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY885799 12/15/56 S                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    900000 | NC      | $-15756.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 6% 06/01/2055 #TBA                                                                | CUSIP: 01F060667<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -35750000 | PA      | $-36108897.83 | -4.95%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2% 12/20/2050#MA7051                                                                | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4586562 | PA      | $3686562.17   | 0.51%             | 2050-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 09/01/2052#CB4669                                                              | CUSIP: 3140QQFK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44876 | PA      | $41870.96     | 0.01%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-B                                   | SBNA AUTO LEASE TRUST 2024-B 5.56% 11/22/2027 144A                                          | CUSIP: 78437VAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    258000 | PA      | $260143.67    | 0.04%             | 2027-11-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MTG LN TR 2020-1                               | NEW RESIDENTIAL MTG LN TR 2020-1 3.5% 10/25/2059 144A                                       | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     39016 | PA      | $36296.37     | 0.00%             | 2059-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3.5% 07/01/2034#BO1835                                                            | CUSIP: 3140JWBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17147 | PA      | $16565.30     | 0.00%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 06/01/2040#MA4054                                                            | CUSIP: 31418DQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443395 | PA      | $392283.96    | 0.05%             | 2040-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 02/01/2052#FS8764                                                              | CUSIP: 3140XQW29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322505 | PA      | $254777.24    | 0.03%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2.5% 04/01/2042#SC0270                                                            | CUSIP: 3132D9JP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84116 | PA      | $73563.14     | 0.01%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 02/01/2052#CB2924                                                              | CUSIP: 3140QNHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19407 | PA      | $18113.76     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII 15YR 3% 02/20/2031#MA3428                                                              | CUSIP: 36179RYZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8794 | PA      | $8538.60      | 0.00%             | 2031-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5.5% 11/01/2054#                                                                  | CUSIP: 3132DWMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    981899 | PA      | $972674.42    | 0.13%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 2.5% 08/01/2032#G18654                                                            | CUSIP: 3128MMWQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6056723 | PA      | $5783979.47   | 0.79%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047                                                | CUSIP: 3136BLES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1806240 | PA      | $1560227.72   | 0.21%             | 2047-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2% 10/01/2041#RB5131                                                              | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18423 | PA      | $15545.52     | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 6.5% 09/01/2053#QH0300                                                            | CUSIP: 3133CCKM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166943 | PA      | $172997.93    | 0.02%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 2022-4 B 2.5% 05/25/2049                                     | CUSIP: 3136BLYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    277183 | PA      | $237962.87    | 0.03%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 1.5% 04/01/2051#SD8139                                                            | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6943509 | PA      | $5131449.66   | 0.70%             | 2051-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                          | BOAM SWAP PAY 3.89 04/21/26                                                                 | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  -2300000 | NC      | $-71097.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6.5% 07/01/2054#CB8875                                                            | CUSIP: 3140QU2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    765572 | PA      | $787000.89    | 0.11%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 03/01/2033#MA3312                                                              | CUSIP: 31418CVE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14610 | PA      | $14086.36     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4% 12/20/2045#MA3311                                                                | CUSIP: 36179RVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11337 | PA      | $10605.05     | 0.00%             | 2045-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 07/01/2050#FM3611                                                            | CUSIP: 3140X7AM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    861465 | PA      | $714336.68    | 0.10%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RCO VIII MORTGAGE LLC 2025-3                                   | RCO VIII MORTGAGE LLC 2025-3 A1 VAR 05/25/2030 144A                                         | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $399506.32    | 0.05%             | 2030-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 04/01/2042#BV7699                                                            | CUSIP: 3140MMRV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90393 | PA      | $79053.56     | 0.01%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2% 06/01/2041#RB5114                                                              | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    298854 | PA      | $253081.32    | 0.03%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1                    | VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1 4.41% 11/15/2027 144A                           | CUSIP: 92887TAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $499241.75    | 0.07%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 09/01/2030#AL7320                                                              | CUSIP: 3138EQD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    904339 | PA      | $882150.58    | 0.12%             | 2030-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 04/01/2050#FM3830                                                              | CUSIP: 3140X7HG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43719 | PA      | $37885.87     | 0.01%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 4% 06/01/2055 #TBA                                                                | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4100000 | PA      | $3759185.45   | 0.52%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 3% 02/20/2050#BS8922                                                                | CUSIP: 3617MK4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    201158 | PA      | $175214.48    | 0.02%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 04/01/2052#FS8195                                                              | CUSIP: 3140XQC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2108632 | PA      | $1650654.46   | 0.23%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4% 04/20/2047#MA4383                                                                | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    540856 | PA      | $504082.48    | 0.07%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 1.5% 12/01/2050#BQ9522                                                            | CUSIP: 3140KVSL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8464 | PA      | $6337.18      | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 07/01/2050#CA6275                                                              | CUSIP: 3140QD6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422186 | PA      | $332469.71    | 0.05%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 03/01/2052#SD2219                                                              | CUSIP: 3132DPPC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    469447 | PA      | $403147.66    | 0.06%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII 15YR 3% 10/20/2031#MA3979                                                              | CUSIP: 36179SM46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67969 | PA      | $65796.48     | 0.01%             | 2031-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 1.5% 03/01/2036#SB8092                                                            | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27394 | PA      | $24161.24     | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 6.5% 10/01/2053#RJ0001                                                            | CUSIP: 3142GQAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    349882 | PA      | $362791.42    | 0.05%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 03/48#BJ6757                                                                 | CUSIP: 3140H8QK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90765 | PA      | $82521.96     | 0.01%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS              | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+56.448 02/20/2049                                     | CUSIP: 38381RQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     78690 | PA      | $77257.13     | 0.01%             | 2049-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FHLMC MULTIFAM STRUCTURED PASS THROUGH K071 A2 3.286% 11/25/2027                            | CUSIP: 3137FCLD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $488639.45    | 0.07%             | 2027-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII 15YR 3% 07/20/2031#MA3778                                                              | CUSIP: 36179SFT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2558 | PA      | $2478.24      | 0.00%             | 2031-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY451600 12/16/72 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     20000 | NC      | $-36.41       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                          | BOAM SWAP REC 4.08 04/24/30                                                                 | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3150000 | NC      | $119272.26    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 2% 01/25/2045                                                | CUSIP: 3137FU4N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    201207 | PA      | $183300.03    | 0.03%             | 2045-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST 2024-1                             | ALLY AUTO RECEIVABLES TRUST 2024-1 5.08% 12/15/2028                                         | CUSIP: 02008FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    255000 | PA      | $256370.37    | 0.04%             | 2028-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2% 09/20/2050#MA6864                                                                | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1785750 | PA      | $1436456.40   | 0.20%             | 2050-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GS MTG-BACKED SECS TR 2024-RPL2                                | GS MTG-BACKED SECS TR 2024-RPL2 A1 3.75% 07/25/2061 144A                                    | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    616414 | PA      | $597246.05    | 0.08%             | 2061-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-C                 | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-C 4.62% 04/17/2028 144A                        | CUSIP: 448984AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1300000 | PA      | $1302903.81   | 0.18%             | 2028-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 05/01/2047#FM2438                                                            | CUSIP: 3140X5V83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6547 | PA      | $5942.53      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRET 2024-RPL1 TR                                              | PRET 2024-RPL1 TR 3.9% 10/25/2063 144A                                                      | CUSIP: 693989AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    584132 | PA      | $547877.53    | 0.08%             | 2063-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                              | CUSIP: 3137H5FF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    172528 | PA      | $147805.06    | 0.02%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 09/20/2043#MA1285                                                              | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2677 | PA      | $2459.58      | 0.00%             | 2043-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6% 07/01/2054#CB8821                                                              | CUSIP: 3140QUYT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3454982 | PA      | $3516302.17   | 0.48%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 6% 10/01/2054#RJ2642                                                              | CUSIP: 3142GS5C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    877273 | PA      | $898600.07    | 0.12%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2017-C5                                 | JPMDB 2017-C5 ASB 3.4919% 03/50                                                             | CUSIP: 46590TAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148958 | PA      | $146857.52    | 0.02%             | 2050-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 5% 06/01/2055 #TBA                                                                  | CUSIP: 21H050664<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10225000 | PA      | $9921630.39   | 1.36%             | 2055-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 11/01/2051#FM9632                                                              | CUSIP: 3140XDV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    758358 | PA      | $653270.82    | 0.09%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 10/01/2051#RA6076                                                              | CUSIP: 3133KMXD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1909026 | PA      | $1500963.49   | 0.21%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 08/01/2051#FM9973                                                              | CUSIP: 3140XECK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    454440 | PA      | $392106.05    | 0.05%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B1 MTG TR                                       | BENCHMARK MTG TR 2018-B1 ASB 3.602% 01/15/2051                                              | CUSIP: 08162PAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210443 | PA      | $207666.65    | 0.03%             | 2051-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 6.5% 01/01/2054#RJ0706                                                            | CUSIP: 3142GQYC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1215820 | PA      | $1260681.01   | 0.17%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK10                                                | BANK 2018-BNK10 3.688% 02/15/2061                                                           | CUSIP: 065404BB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1855959.14   | 0.25%             | 2061-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 08/20/2043#MA1224                                                              | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2518 | PA      | $2319.40      | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                     | FANNIEMAE 20YR 3.5% 05/01/2036#BM3697                                                       | CUSIP: 3140J8DB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153652 | PA      | $148653.05    | 0.02%             | 2036-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 1.5% 04/01/2041#RB5107                                                            | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122516 | PA      | $100822.40    | 0.01%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 07/01/2050#CA6312                                                              | CUSIP: 3140QEAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342780 | PA      | $296512.01    | 0.04%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5.5% 05/01/2054#QI7798                                                            | CUSIP: 3133WEUX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4272653 | PA      | $4234914.14   | 0.58%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.0% 08/20/2044#MA2149                                                              | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85465 | PA      | $81139.82     | 0.01%             | 2044-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATIXIS COML MTG SECS TR 2020-2PAC                             | NATIXIS COML MTG SECS TR 2020-2PAC 2.966% 12/15/2038 144A                                   | CUSIP: 63875DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    664389 | PA      | $626141.56    | 0.09%             | 2038-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TR 2025-TAIL                                                | BX TR 2025-TAIL A VAR 06/15/2035 144A                                                       | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201000 | PA      | $201271.17    | 0.03%             | 2035-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2% 06/01/2055 #TBA                                                                  | CUSIP: 21H020667<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26125000 | PA      | $20989519.93  | 2.88%             | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2% 01/01/2037#FS0216                                                              | CUSIP: 3140XFG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1708429 | PA      | $1556654.79   | 0.21%             | 2037-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-H1                         | MORGAN STANLEY CAPITAL I TRUST 2017-H1 A4 3.259% 06/15/2050                                 | CUSIP: 61691JAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $683088.42    | 0.09%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                        | FHLM 30YR 6.5% 01/01/2055#RJ3308                                                            | CUSIP: 3142GTVA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2289868 | PA      | $2376862.58   | 0.33%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DBJPM 2017-C6 MTG TR                                           | DBJPM 2017-C6 ASB 3.121% 06/50                                                              | CUSIP: 23312JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269605 | PA      | $265628.04    | 0.04%             | 2050-06-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA GTD MTG PASS THRU CTF SOFR30A+160 08/25/2054                                           | CUSIP: 3136BVVD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1175651 | PA      | $1181463.16   | 0.16%             | 2054-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                            | GSCOFI SWAP CY873248 04/17/65 B                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     60000 | NC      | $10229.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA GTD MTG PASS THRU CTF 2025-7 DF SOFR30A+140 09/25/2054                                 | CUSIP: 3136BUWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    783073 | PA      | $780666.17    | 0.11%             | 2054-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 06/01/2046#G08711                                                            | CUSIP: 3128MJYH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5436 | PA      | $4936.63      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 11/01/2040#                                                                    | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2100056 | PA      | $1791128.49   | 0.25%             | 2040-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 2.5% 01/20/2052#785831                                                              | CUSIP: 3622ABLL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    587421 | PA      | $488123.43    | 0.07%             | 2052-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5.5% 01/01/2055#SL0002                                                            | CUSIP: 31427MAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3837121 | PA      | $3833446.21   | 0.53%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 1.5% 08/25/2050                                              | CUSIP: 3136BJTS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    107460 | PA      | $86947.00     | 0.01%             | 2050-08-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 09/01/2051#RA5901                                                              | CUSIP: 3133KMRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198446 | PA      | $170699.21    | 0.02%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 6.5% 01/01/2054#CB7801                                                            | CUSIP: 3140QTU31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2780463 | PA      | $2881317.11   | 0.39%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.5% 05/20/2055#MB0364                                                              | CUSIP: 3618N5MN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $472133.85    | 0.06%             | 2055-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 12/01/2051#CB2289                                                            | CUSIP: 3140QMRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1253180 | PA      | $1031319.13   | 0.14%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 5.5% 01/20/2055#787767                                                              | CUSIP: 3622ADQU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1056121 | PA      | $1054493.23   | 0.14%             | 2055-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 6/1/52#CB3766                                                                  | CUSIP: 3140QPFG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398290 | PA      | $367882.83    | 0.05%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3.5% 07/01/2034#CA3925                                                            | CUSIP: 3140QBLF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53078 | PA      | $51361.07     | 0.01%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                          | BOAM SWAP PAY 4.08 04/24/30                                                                 | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3150000 | NC      | $127056.01    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 11/01/2051#FM9505                                                            | CUSIP: 3140XDR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    717361 | PA      | $590360.94    | 0.08%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| USAA AUTO OWNER TR 2024-A                                      | USAA AUTO OWNER TR 2024-A 5.03% 03/15/2029 144A                                             | CUSIP: 90327VAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1900000 | PA      | $1912043.53   | 0.26%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TOYOTA LEASE OWNER TRUST 2023-A                                | TOYOTA LEASE OWNER TRUST 2023-A 4.93% 04/20/2026 144A                                       | CUSIP: 89239MAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25655 | PA      | $25660.85     | 0.00%             | 2026-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 08/01/2050#SD7524                                                              | CUSIP: 3132DVLD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1849263 | PA      | $1605431.34   | 0.22%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CFMT 2023-HB12 LLC                                             | CFMT 2023-HB12 LLC 4.25% 04/25/2033 144A                                                    | CUSIP: 12530QAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     73659 | PA      | $72892.32     | 0.01%             | 2033-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOFA AUTO TR 2024-1                                            | BOFA AUTO TR 2024-1A A3 5.35% 11/15/2028 144A                                               | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     98000 | PA      | $98961.14     | 0.01%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY873248 04/17/65 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     80000 | NC      | $13639.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA GTD MTG PASS THRU CTF SOFR30A+ 09/25/2054                                              | CUSIP: 3136BUW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    483851 | PA      | $482354.03    | 0.07%             | 2054-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 12/01/2051#RA6579                                                              | CUSIP: 3133KNJY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    191600 | PA      | $149267.26    | 0.02%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 03/01/2036#                                                                  | CUSIP: 31418DXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45065 | PA      | $39746.97     | 0.01%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 07/01/2052#FS5486                                                            | CUSIP: 3140XMCY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425153 | PA      | $381890.18    | 0.05%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 12/01/2051#QD3434                                                              | CUSIP: 3133B0Y72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112578 | PA      | $88478.64     | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 5.5% 06/01/2055 #TBA                                                              | CUSIP: 01F052664<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7600000 | PA      | $7526380.32   | 1.03%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                         | GREENSKY HOME IMPROVEMENT TRUST 2024-2 5.25% 10/27/2059 144A                                | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1206989 | PA      | $1208575.79   | 0.17%             | 2059-10-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2024-NSTB                              | MORGAN STANLEY CAP I TR 2024-NSTB A VAR 07/20/2032 144A                                     | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1466069 | PA      | $1412968.56   | 0.19%             | 2057-09-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                        | BX COML MTG TR 2023-XL3 A TSFR1M+189.123 12/09/2040 144A                                    | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    258479 | PA      | $259530.93    | 0.04%             | 2040-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 6.5% 06/01/2055 #TBA                                                              | CUSIP: 01F062663<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -13800000 | PA      | $-14170868.10 | -1.94%            | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 10/01/2052#SD1772                                                              | CUSIP: 3132DN6H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    638728 | PA      | $592758.83    | 0.08%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 11/01/2049#BO4757                                                              | CUSIP: 3140K0JB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1741723 | PA      | $1509349.12   | 0.21%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 5.5% 07/01/2055 #TBA                                                                | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9200000 | PA      | $9128277.72   | 1.25%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                       | GS MTG SECS TR 2018-GS10 A5 4.155% 07/10/2051                                               | CUSIP: 36250SAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $192952.86    | 0.03%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2025-B                 | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2025-B 4.58% 09/15/2027 144A                        | CUSIP: 44935DAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1200000 | PA      | $1201650.12   | 0.16%             | 2027-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 01/01/2051#MA4239                                                              | CUSIP: 31418DV90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500540 | PA      | $430475.23    | 0.06%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TR 2024-B                             | MERCEDES-BENZ AUTO LEASE TR 2024-B 4.89% 02/15/2028                                         | CUSIP: 58769GAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $996710.40    | 0.14%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 09/01/2035#FS0112                                                              | CUSIP: 3140XFDS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272881 | PA      | $264437.88    | 0.04%             | 2035-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2024-1                | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2024-1 4.98% 12/11/2036 144A                       | CUSIP: 36269KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    704000 | PA      | $716000.17    | 0.10%             | 2036-12-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-30

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer