# EDGAR Filing Document

**Accession Number:** 0000751199
**File Stem:** 0001752724-25-176854
**Filing Date:** 2025-7
**Character Count:** 127267
**Document Hash:** 51abfb03e2b1382f0ce79dd8c36e33f0
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-176854.hdr.sgml**: 20250724

**ACCESSION NUMBER**: 0001752724-25-176854

**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 INCOME FUND /MA/
- **CENTRAL INDEX KEY:** 0000751199

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04085
- **FILM NUMBER:** 251146425

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

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

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

## Series and Classes Contracts Data

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

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

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity® Intermediate Government Income Fund**

**May 31, 2025**

SLM-NPRT3-0725

1.800340.121 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.6%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.6%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.6%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 2.6%  |  |  |
| Fannie Mae Guaranteed REMIC Series 2017-37 Class AB, 2.55% 9/25/2046  | 1281677 | 1166600 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  | 108279 | 88555 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  | 115069 | 94109 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  | 93424 | 80886 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  | 149752 | 127602 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  | 152020 | 138038 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class MA, 3% 5/25/2044  | 586192 | 553717 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  | 1177982 | 1017540 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  | 109993 | 94430 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class BA, 2.5% 12/25/2049  | 222191 | 187630 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  | 215409 | 195659 |
| Fannie Mae Guaranteed REMIC Series 2023-54 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.772% 11/25/2053 (b)(c) | 836679 | 842625 |
| 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 (b)(c) | 734697 | 731623 |
| 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 (b)(c) | 372193 | 371041 |
| 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 (b)(c) | 590112 | 588864 |
| 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 (b)(c) | 597730 | 595893 |
| 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 (b)(c) | 321942 | 321069 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  | 87061 | 74917 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5018 Class LC, 3% 10/25/2040  | 190969 | 170178 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5122 Class TE, 1.5% 6/25/2051  | 452500 | 368960 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  | 549134 | 470515 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  | 108742 | 95867 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  | 113977 | 97686 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  | 113833 | 100274 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  | 127974 | 107910 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  | 86370 | 76164 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  | 382252 | 339378 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5213 Class JM, 3.5% 9/25/2051  | 672454 | 645655 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5214 Class CG, 3.5% 4/25/2052  | 249212 | 234863 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5220 Class PK, 3.5% 1/25/2051  | 321567 | 302606 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5224 Class DQ, 3.75% 8/25/2044  | 386111 | 371630 |
| 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 (b)(c) | 1013581 | 1009197 |
| 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 (b)(c) | 284382 | 281941 |
| 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 (b)(c) | 576523 | 575442 |
| 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 (b)(c) | 490869 | 489445 |
| TOTAL UNITED STATES |  | 13008509 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $12,989,387) |  | <br> **13008509** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 11.9%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 11.9%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 11.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 11.9%  |  |  |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-K048 Class A2, 3.284% 6/25/2025 (b) | 614440 | 612626 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-K049 Class A2, 3.01% 7/25/2025  | 524450 | 522849 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-K050 Class A2, 3.334% 8/25/2025 (b) | 972695 | 968740 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-K051 Class A2, 3.308% 9/25/2025  | 1997414 | 1987168 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K052 Class A2, 3.151% 11/25/2025  | 4004665 | 3977034 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K053 Class A2, 2.995% 12/25/2025  | 2042933 | 2023906 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K055 Class A2, 2.673% 3/25/2026  | 2146543 | 2114904 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K056 Class A2, 2.525% 5/25/2026  | 1995475 | 1960560 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K057 Class A2, 2.57% 7/25/2026  | 1993868 | 1956544 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K058 Class A2, 2.653% 8/25/2026  | 2500000 | 2447454 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K059 Class A2, 3.12% 9/25/2026 (b) | 500000 | 491744 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K060 Class A2, 3.3% 10/25/2026  | 4100000 | 4035900 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K061 Class A2, 3.347% 11/25/2026  | 13025309 | 12834117 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K063 Class A2, 3.43% 1/25/2027  | 500000 | 492690 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K065 Class A2, 3.243% 4/25/2027  | 2200000 | 2157603 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K733 Class A2, 3.75% 8/25/2025  | 1682865 | 1676611 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-K734 Class A2, 3.208% 2/25/2026  | 820971 | 814098 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-K735 Class A2, 2.862% 5/25/2026  | 1053119 | 1037669 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-K736 Class A2, 2.282% 7/25/2026  | 893862 | 873962 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K737 Class A2, 2.525% 10/25/2026  | 8200000 | 8002866 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K739 Class A2, 1.336% 9/25/2027  | 6038661 | 5694105 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-K523 Class AS, U.S. 30-Day Avg. SOFR Index + 0.55%, 4.9007% 4/25/2029 (b)(c) | 2298973 | 2294108 |
| TOTAL UNITED STATES |  | 58977258 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $58,921,694) |  | <br> **58977258** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 8.0%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 8.0%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 8.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 8.0%  |  |  |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 347912 | 293518 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 60927 | 59338 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051 (e) | 571269 | 472453 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 38313 | 33520 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 17774 | 15560 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2040  | 1143041 | 1039834 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  | 32024 | 31116 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032 (d) | 84700 | 82079 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 55705 | 54296 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2035  | 21829 | 21228 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2034 (d) | 64955 | 63212 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2035 (e) | 136731 | 132500 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2041  | 430300 | 387279 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052 (e) | 127842 | 125190 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053 (d)(e) | 98220 | 98371 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053 (d) | 172939 | 175801 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 47884 | 48465 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053 (d)(e) | 331597 | 338519 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053 (d) | 257591 | 262646 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 571876 | 583813 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055 (d)(e) | 191971 | 200104 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054 (e) | 132152 | 135820 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 53470 | 41890 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 1222963 | 1074229 |
| Freddie Mac Gold Pool 2.5% 2/1/2042  | 232718 | 204285 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 498823 | 440832 |
| Freddie Mac Gold Pool 3% 12/1/2030  | 16440 | 15968 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 15312 | 14891 |
| Freddie Mac Gold Pool 3.5% 1/1/2034 (d) | 208430 | 202241 |
| Freddie Mac Gold Pool 5.5% 9/1/2052 (e) | 226200 | 225983 |
| Freddie Mac Gold Pool 6% 12/1/2052  | 384219 | 392119 |
| Freddie Mac Gold Pool 6.5% 10/1/2053 (d) | 320185 | 331799 |
| Freddie Mac Gold Pool 6.5% 10/1/2053 (e) | 314894 | 326512 |
| Freddie Mac Non Gold Pool 6% 9/1/2053  | 44238 | 45105 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055 (e) | 365405 | 379287 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 479379 | 398345 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 404066 | 335763 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 354130 | 294268 |
| Ginnie Mae II Pool 2% 1/20/2051  | 577681 | 464325 |
| Ginnie Mae II Pool 2% 3/20/2052  | 121659 | 97824 |
| Ginnie Mae II Pool 2% 6/1/2055 (f) | 2100000 | 1687196 |
| Ginnie Mae II Pool 2% 9/20/2050  | 99208 | 79803 |
| Ginnie Mae II Pool 4.5% 6/1/2055 (f) | 1600000 | 1510491 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 198362 | 197110 |
| Ginnie Mae II Pool 5.5% 6/1/2055 (f) | 3100000 | 3078739 |
| Ginnie Mae II Pool 5.5% 7/1/2055 (f) | 3100000 | 3075833 |
| Uniform Mortgage Backed Securities 2% 6/1/2055 (f) | 2175000 | 1690638 |
| Uniform Mortgage Backed Securities 2% 7/1/2055 (f) | 325000 | 252763 |
| Uniform Mortgage Backed Securities 4.5% 6/1/2055 (f) | 1600000 | 1509751 |
| Uniform Mortgage Backed Securities 6% 6/1/2055 (f) | 12075000 | 12196222 |
| Uniform Mortgage Backed Securities 6% 7/1/2055 (f) | 4275000 | 4312407 |
| TOTAL UNITED STATES |  | 39531281 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $39,542,581) |  | <br> **39531281** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 76.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 76.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 76.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 76.5%** |
|  | Yield (%) (g) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 4.625% 11/15/2044  | 4.71 to 4.83 | 3560000 | 3419269 |
| US Treasury Bonds 4.625% 2/15/2055  | 4.74 | 320000 | 305241 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.61 | 1469532 | 1398189 |
| US Treasury Notes 0.25% 10/31/2025  | 0.38 | 840000 | 826055 |
| US Treasury Notes 0.25% 7/31/2025  | 0.27 | 6029000 | 5989199 |
| US Treasury Notes 0.375% 12/31/2025  | 0.40 | 4210000 | 4116878 |
| US Treasury Notes 0.75% 8/31/2026  | 0.95 to 4.64 | 6494000 | 6233986 |
| US Treasury Notes 1.125% 8/31/2028  | 1.13 to 1.14 | 53595000 | 49125262 |
| US Treasury Notes 1.25% 12/31/2026  | 1.26 | 3278000 | 3141758 |
| US Treasury Notes 1.25% 9/30/2028  | 1.45 | 580000 | 532580 |
| US Treasury Notes 1.5% 1/31/2027  | 1.50 to 1.57 | 5049000 | 4849407 |
| US Treasury Notes 1.875% 2/28/2027  | 1.71 | 5600000 | 5405094 |
| US Treasury Notes 2.5% 2/28/2026  | 2.38 to 2.67 | 9441000 | 9320222 |
| US Treasury Notes 2.625% 7/31/2029  | 2.83 | 410000 | 389708 |
| US Treasury Notes 2.75% 5/31/2029  | 2.87 | 2897000 | 2772859 |
| US Treasury Notes 2.75% 7/31/2027  | 2.68 to 2.71 | 2880000 | 2812162 |
| US Treasury Notes 2.75% 8/15/2032  | 2.79 to 3.99 | 13693000 | 12474002 |
| US Treasury Notes 2.875% 11/30/2025  | 2.78 to 2.83 | 6513000 | 6466849 |
| US Treasury Notes 2.875% 4/30/2029  | 2.97 | 600000 | 577547 |
| US Treasury Notes 2.875% 5/15/2032  | 2.84 to 2.86 | 2646000 | 2440108 |
| US Treasury Notes 3.125% 11/15/2028  | 2.69 to 3.01 | 8510000 | 8300242 |
| US Treasury Notes 3.375% 5/15/2033  | 3.83 | 290000 | 272996 |
| US Treasury Notes 3.5% 1/31/2028  | 3.83 | 1920000 | 1902150 |
| US Treasury Notes 3.5% 2/15/2033  | 3.91 | 730000 | 695182 |
| US Treasury Notes 3.5% 9/30/2029  | 3.56 to 3.58 | 7540000 | 7410406 |
| US Treasury Notes 3.625% 3/31/2030  | 3.40 to 3.55 | 4740000 | 4668345 |
| US Treasury Notes 3.625% 5/15/2026  | 4.05 to 4.16 | 2030000 | 2019866 |
| US Treasury Notes 3.75% 4/30/2027  | 3.98 | 3240000 | 3230002 |
| US Treasury Notes 3.75% 6/30/2030  | 3.86 | 14430000 | 14274427 |
| US Treasury Notes 3.875% 1/15/2026  | 3.92 | 1680000 | 1676817 |
| US Treasury Notes 3.875% 12/31/2027  | 3.66 to 3.95 | 1800000 | 1800211 |
| US Treasury Notes 3.875% 3/15/2028  | 3.88 to 3.89 | 3500000 | 3501914 |
| US Treasury Notes 3.875% 3/31/2027  | 3.89 | 6410000 | 6402739 |
| US Treasury Notes 3.875% 5/31/2027  | 3.90 to 3.91 | 5200000 | 5194922 |
| US Treasury Notes 3.875% 8/15/2033  | 4.58 to 4.77 | 1350000 | 1313191 |
| US Treasury Notes 3.875% 8/15/2034  | 3.71 to 3.80 | 4680000 | 4507735 |
| US Treasury Notes 4% 1/15/2027  | 4.14 | 4740000 | 4740555 |
| US Treasury Notes 4% 1/31/2031  | 3.89 to 3.96 | 700000 | 698277 |
| US Treasury Notes 4% 10/31/2029  | 4.14 to 4.15 | 6300000 | 6314520 |
| US Treasury Notes 4% 6/30/2028  | 3.95 to 4.04 | 8620000 | 8653672 |
| US Treasury Notes 4% 7/31/2029  | 3.83 | 200000 | 200528 |
| US Treasury Notes 4% 7/31/2030  | 4.07 to 4.18 | 2560000 | 2560600 |
| US Treasury Notes 4.125% 10/31/2026  | 4.15 | 30000000 | 30035157 |
| US Treasury Notes 4.125% 11/30/2031  | 4.13 | 3110000 | 3108299 |
| US Treasury Notes 4.125% 2/15/2027  | 4.40 to 4.49 | 20080000 | 20128631 |
| US Treasury Notes 4.125% 3/31/2031  | 4.36 to 4.71 | 3670000 | 3680465 |
| US Treasury Notes 4.125% 3/31/2032  | 4.08 to 4.09 | 4000000 | 3991875 |
| US Treasury Notes 4.125% 5/31/2032  | 4.17 to 4.18 | 1600000 | 1595753 |
| US Treasury Notes 4.125% 8/31/2030  | 4.19 to 4.61 | 3770000 | 3791501 |
| US Treasury Notes 4.25% 1/15/2028  | 4.24 to 4.33 | 12080000 | 12190419 |
| US Treasury Notes 4.25% 11/15/2034  | 4.31 to 4.78 | 2016000 | 1996155 |
| US Treasury Notes 4.25% 12/31/2025  | 5.07 | 1030000 | 1029769 |
| US Treasury Notes 4.25% 2/28/2031  | 4.25 to 4.36 | 4250000 | 4292334 |
| US Treasury Notes 4.25% 3/15/2027  | 4.36 to 4.42 | 7250000 | 7287383 |
| US Treasury Notes 4.25% 6/30/2029  | 4.11 to 4.12 | 3960000 | 4008531 |
| US Treasury Notes 4.25% 6/30/2031  | 3.99 to 4.45 | 4920000 | 4961128 |
| US Treasury Notes 4.375% 11/30/2028  | 4.11 to 4.15 | 6350000 | 6447979 |
| US Treasury Notes 4.375% 11/30/2030  | 3.87 to 4.31 | 2016000 | 2049784 |
| US Treasury Notes 4.375% 12/15/2026  | 4.18 | 760000 | 764097 |
| US Treasury Notes 4.375% 5/15/2034  | 4.28 | 670000 | 671884 |
| US Treasury Notes 4.5% 11/15/2025  | 4.06 | 2400000 | 2401266 |
| US Treasury Notes 4.625% 11/15/2026  | 4.34 to 4.68 | 12958000 | 13065815 |
| US Treasury Notes 4.625% 3/15/2026  | 4.07 | 620000 | 621804 |
| US Treasury Notes 4.625% 9/30/2028  | 4.57 to 4.76 | 10550000 | 10792732 |
| US Treasury Notes 4.625% 9/30/2030  | 4.57 | 11400000 | 11732648 |
| US Treasury Notes 4.75% 2/15/2045  | 4.95 to 4.99 | 1620000 | 1581272 |
| US Treasury Notes 4.875% 10/31/2028  | 4.52 to 4.65 | 258000 | 266012 |
| US Treasury Notes 4.875% 10/31/2030  | 4.31 to 4.92 | 12410000 | 12919489 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $384,005,651) |  |  | **378347854** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 8.0%** | &nbsp;&nbsp;**Money Market Funds - 8.0%** | &nbsp;&nbsp;**Money Market Funds - 8.0%** | &nbsp;&nbsp;**Money Market Funds - 8.0%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (h)<br>(Cost $39,314,270)<br>| 4.32 | 39306409 | **39314270** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.2%** | &nbsp;&nbsp;**Purchased Swaptions - 0.2%** | &nbsp;&nbsp;**Purchased Swaptions - 0.2%** | &nbsp;&nbsp;**Purchased Swaptions - 0.2%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.1% |  |  |  |
| 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 | 3360000 | 100967 |
| 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 | 5120000 | 208731 |
| 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 | 2200000 | 91984 |
| TOTAL PUT SWAPTIONS |  |  | 401682 |
| Call Swaptions - 0.1% |  |  |  |
| 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 | 3360000 | 108753 |
| 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 | 5120000 | 192499 |
| 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 | 2200000 | 80377 |
| TOTAL CALL SWAPTIONS |  |  | 381629 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $824,422) |  |  | <br> **783311** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 107.2%**<br> (Cost $535,598,005)<br>| <br>**529962483** |
| **NET OTHER ASSETS (LIABILITIES) - (7.2)%**  | **(35499830)** |
| **NET ASSETS - 100.0%** | **494462653** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 4.5% 6/1/2055 | (1600000) | (1510491) |
| Ginnie Mae II Pool 5.5% 6/1/2055 | (3100000) | (3078739) |
| Uniform Mortgage Backed Securities 2% 6/1/2055 | (2175000) | (1690638) |
| Uniform Mortgage Backed Securities 2% 7/1/2055 | (325000) | (252763) |
| Uniform Mortgage Backed Securities 2.5% 6/1/2055 | (1200000) | (977952) |
| Uniform Mortgage Backed Securities 4.5% 6/1/2055 | (1600000) | (1509751) |
| Uniform Mortgage Backed Securities 6% 6/1/2055 | (11650000) | (11766956) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (20787290) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $20,741,248) |  | <br> **(20787290)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &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 10 Year US Treasury Bond Contracts (United States) | 665 | Sep 2025 | 73752656 | 918565 | 918565 |
| CBOT 2 Year US Treasury Note Contracts (United States) | 279 | Sep 2025 | 57896859 | 113708 | 113708 |
| CBOT 5 Year US Treasury Note Contracts (United States) | 68 | Sep 2025 | 7364719 | 57834 | 57834 |
| CBOT US Treasury Long Bond Contracts (United States) | 7 | Sep 2025 | 791875 | 12507 | 12507 |
| CBOT US Treasury Ultra Bond Contracts (United States) | 1 | Sep 2025 | 116281 | 3045 | 3045 |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **1105659** |
| The notional amount of futures purchased as a percentage of Net Assets is 28.2% | The notional amount of futures purchased as a percentage of Net Assets is 28.2% | The notional amount of futures purchased as a percentage of Net Assets is 28.2% | The notional amount of futures purchased as a percentage of Net Assets is 28.2% | The notional amount of futures purchased as a percentage of Net Assets is 28.2% | The notional amount of futures purchased as a percentage of Net Assets is 28.2% |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **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 | 7475000 | 37641 | 0 | 37641 |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | Jun 2045 | 4868000 | 43773 | 0 | 43773 |
| U.S. SOFR Index(4) | Annual | 3.25% | Annual | LCH | Jun 2029 | 7130000 | 34633 | 0 | 34633 |
| U.S. SOFR Index(4) | Annual | 3.25% | Annual | LCH | Jun 2028 | 30057000 | 9149 | 0 | 9149 |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **125196** | **0** | **125196** |

---

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

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

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

(4)Represents floating rate.

**Legend**

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

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

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

(d) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $1,348,973.

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,928,325.

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

(g) 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.

(h) 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 | 24364327 | 135474384 | 120524441 | 1137738 | - | - | 39314270 | 39306409 | 0.1% |
| Fidelity Securities Lending Cash Central Fund | - | 141536415 | 141536415 | 8503 | - | - | - | - | 0.0% |
| Total | 24364327 | 277010799 | 262060856 | 1146241 | - | - | 39314270 |  |  |

---

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. 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):

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.

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.

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

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 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:** $547004813.16

**Total Liabilities:** $53264056.08

**Net Assets:** $493740757.08

**Delayed Delivery Securities:** $29269042.01

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1773.98751412 | **1-Year:** 40823.78868362 | **5-Year:** 73654.07672206 | **10-Year:** 20086.80302675 | **30-Year:** 5068.74906276

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000019284 | 0.45%                | 0.96%                | -0.56%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-224875.32              | $1054390.46                                |
| Month 2  | $87239.44                | $2742071.04                                |
| Month 3  | $80759.68                | $-3218750.08                               |

**Designated Index Information**

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

- **Index Identifier:** 19808149

### Schedule of Portfolio Investments

| Name                                                   | Title                                                                        | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| 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        |    576523 | PA      | $575442.33    | 0.12%             | 2054-10-25      | 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 2019-K735 A2 2.862% 05/25/2026                | CUSIP: 3137FMU67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1053119 | PA      | $1037668.68   | 0.21%             | 2026-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.995% 12/25/2025                             | CUSIP: 3137BN6G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2042933 | PA      | $2023906.38   | 0.41%             | 2025-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 03/15/2027                                                   | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7250000 | PA      | $7287382.81   | 1.48%             | 2027-03-15      | Fixed         | 0.04%                 | 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        |    320000 | PA      | $305241.82    | 0.06%             | 2055-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 1.5% 01/31/2027                                                    | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5049000 | PA      | $4849406.72   | 0.98%             | 2027-01-31      | Fixed         | 0.01%                 | 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        |     44238 | PA      | $45106.10     | 0.01%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.375% 11/30/2028                                                  | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6350000 | PA      | $6447978.53   | 1.31%             | 2028-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                               | CUSIP: 3137H5J57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     86370 | PA      | $76163.83     | 0.02%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.875% 11/30/2025                                                  | CUSIP: 9128285N6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6513000 | PA      | $6466849.27   | 1.31%             | 2025-11-30      | 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        |   1222963 | PA      | $1074228.42   | 0.22%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.525% 05/25/2026                             | CUSIP: 3137BQYS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1995475 | PA      | $1960559.80   | 0.40%             | 2026-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 2.55% 09/25/2046                              | CUSIP: 3136AWGE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1281677 | PA      | $1166600.40   | 0.24%             | 2046-09-25      | 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        |   1600000 | PA      | $1509750.72   | 0.31%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 15YR 3% 02/01/2033#SB0621                                               | CUSIP: 3132CWVN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15312 | PA      | $14891.20     | 0.00%             | 2033-02-01      | 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        |   5120000 | NC      | $208731.24    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                        | CUSIP: 3137HJEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    490869 | PA      | $489444.94    | 0.10%             | 2055-02-25      | Variable      | 0.05%                 | 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        |     17774 | PA      | $15559.77     | 0.00%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.625% 03/15/2026                                                  | CUSIP: 91282CGR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    620000 | PA      | $621804.30    | 0.13%             | 2026-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4% 01/31/2031                                                      | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $698277.34    | 0.14%             | 2031-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 06/30/2029                                                   | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3960000 | PA      | $4008530.99   | 0.81%             | 2029-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.875% 03/31/2027                                                  | CUSIP: 91282CMV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6410000 | PA      | $6402738.69   | 1.30%             | 2027-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.347% 11/25/2026                             | CUSIP: 3137BTUM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13025309 | PA      | $12834115.50  | 2.60%             | 2026-11-25      | Fixed         | 0.03%                 | 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        |         7 | NC      | $12507.24     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.625% 11/15/2026                                                  | CUSIP: 91282CJK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12958000 | PA      | $13065814.58  | 2.65%             | 2026-11-15      | Fixed         | 0.05%                 | 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        |     21829 | PA      | $21228.42     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 6% 07/01/2053#FS5067                                               | CUSIP: 3140XLTZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    571876 | PA      | $583812.81    | 0.12%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.875% 01/15/2026                                                  | CUSIP: 91282CGE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1680000 | PA      | $1676817.19   | 0.34%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.625% 09/30/2030                                                  | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11400000 | PA      | $11732648.47  | 2.38%             | 2030-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.375% 11/30/2030                                                  | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2016000 | PA      | $2049783.74   | 0.42%             | 2030-11-30      | Fixed         | 0.04%                 | 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        |     55705 | PA      | $54295.98     | 0.01%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.875% 10/31/2030                                                  | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12410000 | PA      | $12919488.70  | 2.62%             | 2030-10-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                  | BOAM SWAP REC 4.01 05/07/30                                                  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2200000 | NC      | $80377.26     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.875% 12/31/2027                                                  | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1800000 | PA      | $1800210.96   | 0.36%             | 2027-12-31      | Fixed         | 0.04%                 | 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        |  12075000 | PA      | $12196222.13  | 2.47%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 02/28/2031                                                   | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4250000 | PA      | $4292334.00   | 0.87%             | 2031-02-28      | Fixed         | 0.04%                 | 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        |     87061 | PA      | $74916.73     | 0.02%             | 2047-11-25      | Fixed         | 0.02%                 | 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        |    734697 | PA      | $731622.40    | 0.15%             | 2054-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                            | UNITED STATES TREASURY BOND 4.625% 11/15/2044                                | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3560000 | PA      | $3419268.75   | 0.69%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.75% 08/15/2032                                                   | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13693000 | PA      | $12474002.04  | 2.53%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.243% 04/25/2027                             | CUSIP: 3137F1G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2200000 | PA      | $2157603.36   | 0.44%             | 2027-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.151% 11/25/2025                             | CUSIP: 3137BMTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4004665 | PA      | $3977034.00   | 0.81%             | 2025-11-25      | Fixed         | 0.03%                 | 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        |   2175000 | PA      | $1690637.51   | 0.34%             | 2055-06-01      | 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 CSTR 08/25/2025                               | CUSIP: 3137BLW95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    972695 | PA      | $968740.07    | 0.20%             | 2025-08-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 4.5% 06/01/2055 #TBA                                                 | CUSIP: 21H042661<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1600000 | PA      | $-1510490.72  | -0.31%            | 2055-06-01      | Fixed         | 0.04%                 | 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        |    590112 | PA      | $588863.98    | 0.12%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 11/30/2031                                                  | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3110000 | PA      | $3108299.20   | 0.63%             | 2031-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 30YR 6% 12/01/2052#RA8306                                               | CUSIP: 3133KQGP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    384219 | PA      | $392119.24    | 0.08%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 03/31/2031                                                  | CUSIP: 91282CKF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3670000 | PA      | $3680465.23   | 0.75%             | 2031-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4% 07/31/2030                                                      | CUSIP: 91282CHR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2560000 | PA      | $2560600.01   | 0.52%             | 2030-07-31      | Fixed         | 0.04%                 | 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        |    132152 | PA      | $135819.66    | 0.03%             | 2054-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 5.5% 12/20/2054#MB0092                                               | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198362 | PA      | $197110.42    | 0.04%             | 2054-12-20      | Fixed         | 0.06%                 | 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        |   4275000 | PA      | $4312406.68   | 0.87%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.75% 05/31/2029                                                   | CUSIP: 91282CES6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2897000 | PA      | $2772859.03   | 0.56%             | 2029-05-31      | 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 5175 CB 2.5% 04/25/2050                       | CUSIP: 3137H4N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    549134 | PA      | $470514.83    | 0.10%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.5% 02/28/2026                                                    | CUSIP: 9128286F2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9441000 | PA      | $9320221.57   | 1.89%             | 2026-02-28      | 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        |     84700 | PA      | $82079.48     | 0.02%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 1.25% 12/31/2026                                                   | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3278000 | PA      | $3141758.13   | 0.64%             | 2026-12-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.375% 05/15/2033                                                  | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    290000 | PA      | $272996.49    | 0.06%             | 2033-05-15      | 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        |     16440 | PA      | $15968.14     | 0.00%             | 2030-12-01      | 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        |     98220 | PA      | $98371.36     | 0.02%             | 2053-06-01      | Fixed         | 0.06%                 | 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        |     32024 | PA      | $31115.71     | 0.01%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.875% 04/30/2029                                                  | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $577546.87    | 0.12%             | 2029-04-30      | 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        |  -1200000 | PA      | $-977952.96   | -0.20%            | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 03/31/2032                                                  | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $3991875.00   | 0.81%             | 2032-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 1.336% 09/25/2027                             | CUSIP: 3137F64P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6038661 | PA      | $5694105.03   | 1.15%             | 2027-09-25      | Fixed         | 0.01%                 | 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        |    115069 | PA      | $94108.60     | 0.02%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.282% 07/25/2026                             | CUSIP: 3137FNWX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    893862 | PA      | $873962.40    | 0.18%             | 2026-07-25      | Fixed         | 0.02%                 | 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        |    191971 | PA      | $200104.15    | 0.04%             | 2055-01-01      | 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 3.75% 08/25/2044                              | CUSIP: 3137H7FZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    386111 | PA      | $371629.51    | 0.08%             | 2044-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 5% 11/01/2052#FS3295                                               | CUSIP: 3140XJUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127842 | PA      | $125190.11    | 0.03%             | 2052-11-01      | Fixed         | 0.05%                 | 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        | -30057000 | NC      | $9149.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.75% 06/30/2030                                                   | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14430000 | PA      | $14274426.56  | 2.89%             | 2030-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 3% 05/25/2044                                 | CUSIP: 3136BL6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    586192 | PA      | $553716.74    | 0.11%             | 2044-05-25      | Fixed         | 0.03%                 | 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        |   3360000 | NC      | $108753.22    | 0.02%             |  |  |  | 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        |   3360000 | NC      | $100966.79    | 0.02%             |  |  |  | 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        |    215409 | PA      | $195658.99    | 0.04%             | 2048-05-25      | 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        |       665 | NC      | $918564.50    | 0.19%             |  |  |  | No            |                  1 | 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        |  -2175000 | PA      | $-1690637.51  | -0.34%            | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.5% 01/31/2028                                                    | CUSIP: 91282CGH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1920000 | PA      | $1902149.99   | 0.39%             | 2028-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.75% 04/30/2027                                                   | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3240000 | PA      | $3230001.55   | 0.65%             | 2027-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 15YR 2% 02/01/2028#FS3865                                               | CUSIP: 3140XKJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60927 | PA      | $59337.68     | 0.01%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.375% 12/15/2026                                                  | CUSIP: 91282CJP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    760000 | PA      | $764096.87    | 0.15%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 20YR 3% 09/01/2041#FM9587                                               | CUSIP: 3140XDUM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    430300 | PA      | $387279.46    | 0.08%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.625% 03/31/2030                                                  | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4740000 | PA      | $4668344.52   | 0.95%             | 2030-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 2.5% 12/01/2051#CB2320                                             | CUSIP: 3140QMSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    571269 | PA      | $472453.09    | 0.10%             | 2051-12-01      | 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 | Long             | ABS-MBS          | USGA              | US        |   3100000 | PA      | $3078738.96   | 0.62%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.75% 08/25/2025                              | CUSIP: 3137FJXQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1682865 | PA      | $1676611.04   | 0.34%             | 2025-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4% 10/31/2029                                                      | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6300000 | PA      | $6314519.55   | 1.28%             | 2029-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 4.5% 06/01/2055 #TBA                                                 | CUSIP: 21H042661<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1600000 | PA      | $1510490.72   | 0.31%             | 2055-06-01      | Fixed         | 0.04%                 | 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        |    121659 | PA      | $97824.14     | 0.02%             | 2052-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.5% 02/15/2033                                                    | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    730000 | PA      | $695182.42    | 0.14%             | 2033-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.375% 05/15/2034                                                  | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    670000 | PA      | $671884.38    | 0.14%             | 2034-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                        | CUSIP: 3137HJYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   1013581 | PA      | $1009195.74   | 0.20%             | 2055-02-25      | 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 3.43% 01/25/2027                              | CUSIP: 3137BVZ82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $492690.30    | 0.10%             | 2027-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 0.75% 08/31/2026                                                   | CUSIP: 91282CCW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6494000 | PA      | $6233986.34   | 1.26%             | 2026-08-31      | Fixed         | 0.01%                 | 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        |     47884 | PA      | $48464.65     | 0.01%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.875% 08/15/2034                                                  | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4680000 | PA      | $4507735.28   | 0.91%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.625% 05/15/2026                                                  | CUSIP: 91282CHB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2030000 | PA      | $2019865.85   | 0.41%             | 2026-05-15      | Fixed         | 0.04%                 | 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        |    257591 | PA      | $262645.78    | 0.05%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 1.25% 09/30/2028                                                   | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    580000 | PA      | $532580.47    | 0.11%             | 2028-09-30      | Fixed         | 0.01%                 | 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        |    836679 | PA      | $842625.20    | 0.17%             | 2053-11-25      | Variable      | 0.06%                 | 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        |    152020 | PA      | $138038.04    | 0.03%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2024-K523 AS TSFR1M+55 05/25/2029             | CUSIP: 3137HDJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2298973 | PA      | $2294107.78   | 0.46%             | 2029-04-25      | 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% 05/25/2049                               | CUSIP: 3137H5UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    113977 | PA      | $97686.27     | 0.02%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+120 02/25/2055                        | CUSIP: 3137HJZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    284382 | PA      | $281941.24    | 0.06%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 1.875% 02/28/2027                                                  | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5600000 | PA      | $5405093.74   | 1.09%             | 2027-02-28      | Fixed         | 0.02%                 | 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        |    320185 | PA      | $331798.93    | 0.07%             | 2053-10-01      | Fixed         | 0.07%                 | 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        |  -3100000 | PA      | $-3078738.96  | -0.62%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 15YR 3.5% 01/01/2034#G18720                                             | CUSIP: 3128MMYS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208430 | PA      | $202240.92    | 0.04%             | 2034-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 1.125% 08/31/2028                                                  | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  53595000 | PA      | $49125260.61  | 9.95%             | 2028-08-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040                                 | CUSIP: 3137FXBN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    190969 | PA      | $170177.95    | 0.03%             | 2040-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 5191 CA 2.5% 04/25/2050                       | CUSIP: 3137H5MS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    127974 | PA      | $107910.01    | 0.02%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.75% 02/15/2045                                                   | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    320000 | PA      | $312350.00    | 0.06%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 12/31/2025                                                   | CUSIP: 91282CJS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1030000 | PA      | $1029768.65   | 0.21%             | 2025-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.653% 08/25/2026                             | CUSIP: 3137BSP72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2447454.00   | 0.50%             | 2026-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT K737 A2 2.525% 10/25/2026                     | CUSIP: 3137FQXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8200000 | PA      | $8002866.26   | 1.62%             | 2026-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.01% 07/25/2025                              | CUSIP: 3137BLMZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    524450 | PA      | $522848.94    | 0.11%             | 2025-07-25      | 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        |  -4868000 | NC      | $43773.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 2% 01/20/2051#MA7135                                                 | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    577681 | PA      | $464325.16    | 0.09%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 0.25% 10/31/2025                                                   | CUSIP: 91282CAT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    840000 | PA      | $826054.69    | 0.17%             | 2025-10-31      | Fixed         | 0.00%                 | 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        |     93424 | PA      | $80887.45     | 0.02%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 01/15/2028                                                   | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12080000 | PA      | $12190418.69  | 2.47%             | 2028-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4% 07/31/2029                                                      | CUSIP: 91282CLC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $200527.86    | 0.04%             | 2029-07-31      | 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    | 0.06%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.625% 09/30/2028                                                  | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10550000 | PA      | $10792732.40  | 2.19%             | 2028-09-30      | Fixed         | 0.05%                 | 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        |    331597 | PA      | $338518.64    | 0.07%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 0.25% 07/31/2025                                                   | CUSIP: 91282CAB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6029000 | PA      | $5989199.19   | 1.21%             | 2025-07-31      | Fixed         | 0.00%                 | 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        |    354130 | PA      | $294267.94    | 0.06%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                           | Fidelity Cash Central Fund                                                   | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  39306409 | NS      | $39314270.10  | 7.96%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                   | UMBS 30YR 2% 07/01/2055 #TBA                                                 | CUSIP: 01F020679<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -325000 | PA      | $-252763.65   | -0.05%            | 2055-07-01      | 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 K048 A2 3.186% 06/25                          | CUSIP: 3137BLAC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    614440 | PA      | $612626.35    | 0.12%             | 2025-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.57% 07/25/2026                              | CUSIP: 3137BRQJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1993868 | PA      | $1956544.42   | 0.40%             | 2026-07-25      | Fixed         | 0.03%                 | 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        |     53470 | PA      | $41890.38     | 0.01%             | 2050-11-01      | Fixed         | 0.02%                 | 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        |   1450000 | PA      | $1398188.51   | 0.28%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FHMS K059 A2 CSTR 09/25/2026                                                 | CUSIP: 3137BSRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $491744.10    | 0.10%             | 2026-09-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 10/31/2026                                                  | CUSIP: 91282CLS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $30035156.40  | 6.08%             | 2026-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4% 06/30/2028                                                      | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8620000 | PA      | $8653671.88   | 1.75%             | 2028-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 20YR 3% 10/01/2040#FM7397                                               | CUSIP: 3140XBGF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1143041 | PA      | $1039834.26   | 0.21%             | 2040-10-01      | Fixed         | 0.03%                 | 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        |         1 | NC      | $3044.85      | 0.00%             |  |  |  | No            |                  1 | 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        |    404066 | PA      | $335762.71    | 0.07%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.5% 09/25/2051                               | CUSIP: 3137H6XY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    672454 | PA      | $645655.10    | 0.13%             | 2051-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                               | CUSIP: 3137H5F77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    113833 | PA      | $100274.08    | 0.02%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.875% 03/15/2028                                                  | CUSIP: 91282CMS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3500000 | PA      | $3501914.08   | 0.71%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.5% 11/15/2025                                                    | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2400000 | PA      | $2401265.62   | 0.49%             | 2025-11-15      | Fixed         | 0.04%                 | 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        |    321942 | PA      | $321069.43    | 0.07%             | 2055-02-25      | Variable      | 0.05%                 | 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        |    232718 | PA      | $204285.01    | 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 2.5% 11/25/2047                               | CUSIP: 3137H5KC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    382252 | PA      | $339378.47    | 0.07%             | 2047-11-25      | Fixed         | 0.03%                 | 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        |    172939 | PA      | $175800.89    | 0.04%             | 2053-11-01      | Fixed         | 0.06%                 | 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        |  -7475000 | NC      | $37640.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                  | BOAM SWAP REC 4.065 05/02/30                                                 | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   5120000 | NC      | $192498.53    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 11/15/2034                                                   | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2016000 | PA      | $1996155.00   | 0.40%             | 2034-11-15      | Fixed         | 0.04%                 | 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        |    479379 | PA      | $398345.31    | 0.08%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 30YR 5.5% 09/01/2052#SD1579                                             | CUSIP: 3132DNXG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    226200 | PA      | $225983.08    | 0.05%             | 2052-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 21-66 DA 2% 01/25/2048                        | CUSIP: 3136BG6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    108279 | PA      | $88554.95     | 0.02%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 02/15/2027                                                  | CUSIP: 91282CKA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20080000 | PA      | $20128631.35  | 4.08%             | 2027-02-15      | Fixed         | 0.04%                 | 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        |       279 | NC      | $113708.22    | 0.02%             |  |  |  | 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        |  -7130000 | NC      | $34633.16     | 0.01%             |  |  |  | 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        |  -1600000 | PA      | $-1509750.72  | -0.31%            | 2055-06-01      | Fixed         | 0.04%                 | 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        |    498823 | PA      | $440831.14    | 0.09%             | 2041-05-01      | 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        |    149752 | PA      | $127601.62    | 0.03%             | 2050-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4% 01/15/2027                                                      | CUSIP: 91282CJT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4740000 | PA      | $4740555.48   | 0.96%             | 2027-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                  | BOAM SWAP PAY 4.01 05/07/30                                                  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2200000 | NC      | $91984.44     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 08/31/2030                                                  | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3770000 | PA      | $3791500.76   | 0.77%             | 2030-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.5% 04/25/2052                               | CUSIP: 3137H6RW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    249212 | PA      | $234862.72    | 0.05%             | 2052-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.75% 07/31/2027                                                   | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2880000 | PA      | $2812162.49   | 0.57%             | 2027-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 2.5% 12/25/2049                               | CUSIP: 3136BLGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    222191 | PA      | $187630.09    | 0.04%             | 2049-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 15YR 3% 07/01/2034#FM8940                                               | CUSIP: 3140XC5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64955 | PA      | $63212.16     | 0.01%             | 2034-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 1.5% 06/25/2051                               | CUSIP: 3137H1B70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    452500 | PA      | $368959.74    | 0.07%             | 2051-06-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.3% 10/25/2026                               | CUSIP: 3137BTAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4100000 | PA      | $4035900.19   | 0.82%             | 2026-10-25      | 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        |     38313 | PA      | $33520.26     | 0.01%             | 2042-05-01      | 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        |        68 | NC      | $57833.83     | 0.01%             |  |  |  | No            |                  1 | 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        |    325000 | PA      | $252763.65    | 0.05%             | 2055-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.875% 05/15/2032                                                  | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2646000 | PA      | $2440108.13   | 0.49%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 5180 KA 2.5% 10/25/2047                       | CUSIP: 3137H5BG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    108742 | PA      | $95867.23     | 0.02%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.208% 02/25/2026                             | CUSIP: 3137FLN34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    820971 | PA      | $814097.84    | 0.16%             | 2026-02-25      | Fixed         | 0.03%                 | 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        | -11650000 | PA      | $-11766955.52 | -2.38%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.625% 07/31/2029                                                  | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    410000 | PA      | $389708.20    | 0.08%             | 2029-07-31      | 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        |   1177982 | PA      | $1017539.51   | 0.21%             | 2047-10-25      | Fixed         | 0.02%                 | 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        |    109993 | PA      | $94429.69     | 0.02%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 06/30/2031                                                   | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4920000 | PA      | $4961128.15   | 1.00%             | 2031-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.5% 09/30/2029                                                    | CUSIP: 91282CLN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7540000 | PA      | $7410406.25   | 1.50%             | 2029-09-30      | Fixed         | 0.04%                 | 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        |    314894 | PA      | $326512.36    | 0.07%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.875% 10/31/2028                                                  | CUSIP: 91282CJF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    258000 | PA      | $266012.11    | 0.05%             | 2028-10-31      | 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        |     99208 | PA      | $79802.91     | 0.02%             | 2050-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 0.375% 12/31/2025                                                  | CUSIP: 91282CBC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4210000 | PA      | $4116878.42   | 0.83%             | 2025-12-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.673% 03/25/2026                             | CUSIP: 3137BPW21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2146543 | PA      | $2114903.76   | 0.43%             | 2026-03-25      | Fixed         | 0.03%                 | 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        |   2100000 | PA      | $1687195.86   | 0.34%             | 2055-06-01      | Fixed         | 0.02%                 | 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        |    365405 | PA      | $379287.03    | 0.08%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.125% 11/15/2028                                                  | CUSIP: 9128285M8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8510000 | PA      | $8300241.78   | 1.68%             | 2028-11-15      | Fixed         | 0.03%                 | 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        |    597730 | PA      | $595893.11    | 0.12%             | 2054-09-25      | 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 3.5% 01/25/2051                               | CUSIP: 3137H77F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    321567 | PA      | $302606.24    | 0.06%             | 2051-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.308% 09/25/2025                             | CUSIP: 3137BM7C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1997414 | PA      | $1987168.23   | 0.40%             | 2025-09-25      | Fixed         | 0.03%                 | 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        |    372193 | PA      | $371041.35    | 0.08%             | 2054-09-25      | Variable      | 0.06%                 | 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        |   3100000 | PA      | $3075832.71   | 0.62%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.875% 08/15/2033                                                  | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1350000 | PA      | $1313191.41   | 0.27%             | 2033-08-15      | 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        |    136731 | PA      | $132499.81    | 0.03%             | 2035-09-01      | Fixed         | 0.03%                 | 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