# EDGAR Filing Document

**Accession Number:** 0000751199
**File Stem:** 0000035402-26-001987
**Filing Date:** 2026-3
**Character Count:** 864595
**Document Hash:** 2628bb127dd88fcdcb2284bb795da491
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-26-001987.hdr.sgml**: 20260325

**ACCESSION NUMBER**: 0000035402-26-001987

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260325

**DATE AS OF CHANGE**: 20260325

**PERIOD START**: 20260731

**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:** 26790535

**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 GNMA Fund (Series ID: S000007068)

| Class ID   | Class Name         | Ticker Symbol   |
|:---|:---|:---|
| C000019282 | Fidelity GNMA Fund | FGMNX           |

## 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 GNMA Fund

- **b. EDGAR series identifier (if any):** S000007068

- **c. LEI of Series:** 775WA6SKHRP1TXGPSK08

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

- **a. Date of fiscal year-end:** 2026-07-31

- **b. Date as of which information is reported:** 2026-01-31

**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:** $3730915251.37

**Total Liabilities:** $2004221869.58

**Net Assets:** $1726693381.79

**Delayed Delivery Securities:** $1112420243.67

**Cash Not Reported:** $76886.69

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 10076.60802618 | **1-Year:** 118561.12802505 | **5-Year:** 284162.01005407 | **10-Year:** 381289.60826196 | **30-Year:** 98951.81406791

**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 C000019282 | 0.59%                | 0.00%                | 0.66%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $330648.98               | $6668503.98                                |
| Month 2  | $557381.69               | $-7574477.58                               |
| Month 3  | $1704950.27              | $4221687.07                                |

**Designated Index Information**

- **Index Name:** Bloomberg GNMA Index

- **Index Identifier:** 19808150

### Schedule of Portfolio Investments

| Name                                                          | Title                                                                        | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM ARM 4.889% 3/33 #847126                                                 | CUSIP: 3128HD4K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        568 | PA      | $579.85        | 0.00%             | 2033-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM ARM 4.24% 6/33 #847147                                                  | CUSIP: 3128HD5G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79652 | PA      | $80981.31      | 0.00%             | 2033-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM ARM 5.38% 8/34 #1B1936                                                  | CUSIP: 3128JMBE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16153 | PA      | $16637.13      | 0.00%             | 2034-08-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM ARM 5.03% 12/35 #847473                                                 | CUSIP: 3128JRJS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     238408 | PA      | $243880.97     | 0.01%             | 2035-12-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM ARM 5.64% 4/36 #1J0058                                                  | CUSIP: 3128LUB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42717 | PA      | $44113.00      | 0.00%             | 2036-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM ARM 5.12% 10/36 #1A1201                                                 | CUSIP: 3128NFKN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39580 | PA      | $40286.10      | 0.00%             | 2036-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM ARM 5.61% 3/35 #1L0297                                                  | CUSIP: 3128Q2KJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     175572 | PA      | $179289.31     | 0.01%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM ARM 4.87% 10/35 #1M1052                                                 | CUSIP: 3128QFEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51507 | PA      | $52651.75      | 0.00%             | 2035-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM ARM 4.08% 6/33 #1B0891                                                  | CUSIP: 31336SRL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60945 | PA      | $62595.36      | 0.00%             | 2033-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FHR 2204 N 7.5% 12/29                                                        | CUSIP: 3133TMXS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     192513 | PA      | $198475.99     | 0.01%             | 2029-12-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FHR 2220 PD 8 3/30                                                           | CUSIP: 3133TNPR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      94909 | PA      | $99670.96      | 0.01%             | 2030-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM ARM 4.56% 6/33 #780605                                                  | CUSIP: 31342AU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66558 | PA      | $67545.98      | 0.00%             | 2033-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES     | FNS 343 16 5.5% 5/34                                                         | CUSIP: 3136FA6N5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      67563 | PA      | $9057.02       | 0.00%             | 2034-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES     | FNS 331 12 IO 6.5 2/33                                                       | CUSIP: 3136FAXR6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      47355 | PA      | $6292.49       | 0.00%             | 2033-02-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES     | FNS 339 5 5.5% 8/33                                                          | CUSIP: 3136FAZ78<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      71836 | PA      | $9377.54       | 0.00%             | 2033-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNCL 535081 8.5% 12/27                                                       | CUSIP: 31384VM66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        843 | PA      | $846.62        | 0.00%             | 2027-12-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA ARM 4.428% 7/36 #555923                                                 | CUSIP: 31385XSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20315 | PA      | $20689.53      | 0.00%             | 2036-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA ARM 4.801% 2/33 #695019                                                 | CUSIP: 31400RDY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2736 | PA      | $2771.75       | 0.00%             | 2033-02-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA ARM 4.89% 3/33 #725130                                                  | CUSIP: 31402CST0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13561 | PA      | $13898.46      | 0.00%             | 2033-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA ARM 4.60% 8/35 #735810                                                  | CUSIP: 31402RN39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36209 | PA      | $37053.44      | 0.00%             | 2035-08-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA ARM 4.87% 1/35 #735833                                                  | CUSIP: 31402RPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6235 | PA      | $6389.67       | 0.00%             | 2035-01-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA ARM 4.66% 8/35 #745071                                                  | CUSIP: 31403CW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68295 | PA      | $70150.70      | 0.00%             | 2035-08-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA ARM 3.753% 10/33 #746320                                                | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7695 | PA      | $7866.24       | 0.00%             | 2033-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA ARM 4.19% 9/33 #748643                                                  | CUSIP: 31403GWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89273 | PA      | $90593.48      | 0.01%             | 2033-09-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA ARM 4.358% 10/33 #754672                                                | CUSIP: 31403QMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2830 | PA      | $2872.15       | 0.00%             | 2033-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA ARM 5.05% 7/34 #801635                                                  | CUSIP: 31405WSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3516 | PA      | $3590.29       | 0.00%             | 2034-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA ARM 5.344% 7/35 #834917                                                 | CUSIP: 31407MSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4045 | PA      | $4118.82       | 0.00%             | 2035-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA ARM 5.349% 12/34 #843013                                                | CUSIP: 31407WSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7221 | PA      | $7337.09       | 0.00%             | 2034-12-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA ARM 5.280% 3/35 #843014                                                 | CUSIP: 31407WSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6940 | PA      | $7057.58       | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA ARM 4.80% 7/34 #849923                                                  | CUSIP: 31408FG86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28316 | PA      | $28931.21      | 0.00%             | 2034-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA ARM 5.49% 9/34 #849925                                                  | CUSIP: 31408FHA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18416 | PA      | $18894.76      | 0.00%             | 2034-09-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA ARM 4.898% 5/35 #995272                                                 | CUSIP: 31416BT57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40088 | PA      | $41114.83      | 0.00%             | 2035-05-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA ARM 11/36 #995606                                                       | CUSIP: 31416CAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20126 | PA      | $20688.69      | 0.00%             | 2036-11-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                  | Fidelity Cash Central Fund                                                   | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |    8826888 | NS      | $8828653.63    | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 5/41 #760147                                                      | CUSIP: 36176AHY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1744 | PA      | $1742.86       | 0.00%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/41 #760443                                                      | CUSIP: 36176AS83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73368 | PA      | $73498.53      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #760497                                                     | CUSIP: 36176AUW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60049 | PA      | $58469.80      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 03/15/2041#761212                                             | CUSIP: 36176BN52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40913 | PA      | $39829.90      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/41 #762162                                                      | CUSIP: 36176CQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1283 | PA      | $1283.27       | 0.00%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 08/15/2043#763875                                             | CUSIP: 36176EMY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     428381 | PA      | $401425.50     | 0.02%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/41 #764818                                                      | CUSIP: 36176FPB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     226184 | PA      | $226575.09     | 0.01%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/41 #764819                                                      | CUSIP: 36176FPC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90021 | PA      | $90279.05      | 0.01%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 7/41 #764871                                                      | CUSIP: 36176FQY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33404 | PA      | $32552.64      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 5/41 #765881                                                      | CUSIP: 36176GUE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89964 | PA      | $90085.73      | 0.01%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 07/15/2043#767074                                             | CUSIP: 36176H6K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     484025 | PA      | $455552.63     | 0.03%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 09/15/2043#767078                                             | CUSIP: 36176H6P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79355 | PA      | $74474.50      | 0.00%             | 2043-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 4/42 #766653                                                      | CUSIP: 36176HQE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3808771 | PA      | $3607445.26    | 0.21%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 4/42 #766654                                                      | CUSIP: 36176HQF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2355893 | PA      | $2230827.59    | 0.13%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 5/42 #766750                                                      | CUSIP: 36176HTF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     590708 | PA      | $559891.16     | 0.03%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 5/42 #766751                                                      | CUSIP: 36176HTG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     790517 | PA      | $749459.05     | 0.04%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #768770                                                      | CUSIP: 36176K2B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36827 | PA      | $35785.92      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #768771                                                      | CUSIP: 36176K2C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137770 | PA      | $133648.97     | 0.01%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #768084                                                      | CUSIP: 36176KCV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     326613 | PA      | $317275.49     | 0.02%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 7/41 #768127                                                      | CUSIP: 36176KD87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22793 | PA      | $22204.88      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 8/41 #768137                                                      | CUSIP: 36176KEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72521 | PA      | $70483.09      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 8/41 #769752                                                      | CUSIP: 36176L5M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     238776 | PA      | $231516.18     | 0.01%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 7/41 #769093                                                      | CUSIP: 36176LGA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50108 | PA      | $48675.60      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 5/41 #769505                                                      | CUSIP: 36176LU60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123076 | PA      | $123360.22     | 0.01%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 7/41 #769513                                                      | CUSIP: 36176LVE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7284 | PA      | $7070.88       | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/41 #769597                                                      | CUSIP: 36176LX26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15766 | PA      | $15284.48      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #769606                                                     | CUSIP: 36176LYB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11381 | PA      | $11031.45      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 12/41 #770117                                                     | CUSIP: 36176MK69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     177898 | PA      | $167521.68     | 0.01%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 8/41 #771559                                                      | CUSIP: 36176N5U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     735727 | PA      | $713597.37     | 0.04%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 8/41 #771560                                                      | CUSIP: 36176N5V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     500781 | PA      | $486213.86     | 0.03%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 7/41 #772031                                                      | CUSIP: 36176PPQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4609 | PA      | $4476.91       | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/41 #772060                                                      | CUSIP: 36176PQM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70646 | PA      | $68672.05      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/41 #772062                                                      | CUSIP: 36176PQP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     672492 | PA      | $653488.29     | 0.04%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/41 #772063                                                      | CUSIP: 36176PQQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     222296 | PA      | $215903.32     | 0.01%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #772072                                                     | CUSIP: 36176PQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97461 | PA      | $94626.06      | 0.01%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 11/41 #772088                                                     | CUSIP: 36176PRH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     133175 | PA      | $126105.20     | 0.01%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 3/42 #773365                                                      | CUSIP: 36176Q6A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30968 | PA      | $29310.18      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 03/15/2042#773367                                             | CUSIP: 36176Q6C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     164387 | PA      | $159578.16     | 0.01%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/41 #773113                                                      | CUSIP: 36176QVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7387 | PA      | $7210.31       | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/41 #773473                                                      | CUSIP: 36176RCJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60888 | PA      | $59236.01      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #773499                                                     | CUSIP: 36176RDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60964 | PA      | $59270.42      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 10/15/2041#773503                                             | CUSIP: 36176RDG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     260696 | PA      | $253242.71     | 0.01%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 9/41 #775072                                                      | CUSIP: 36176S2D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60452 | PA      | $60572.97      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 2.5% 11/15/2042#776954                                             | CUSIP: 36176U5P6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     206211 | PA      | $184506.19     | 0.01%             | 2042-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/41 #778681                                                     | CUSIP: 36176W2N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     151944 | PA      | $147448.74     | 0.01%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 01/15/2042#778130                                             | CUSIP: 36176WHF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132240 | PA      | $129116.35     | 0.01%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 02/15/2042#778869                                             | CUSIP: 36176XCE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     480518 | PA      | $466380.58     | 0.03%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 2/42 #778882                                                      | CUSIP: 36176XCT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2082766 | PA      | $1967659.23    | 0.11%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 4/42 #779086                                                      | CUSIP: 36176XJ75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4021027 | PA      | $3813093.00    | 0.22%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 4/42 #779087                                                      | CUSIP: 36176XJ83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1391722 | PA      | $1320067.97    | 0.08%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 4/42 #779088                                                      | CUSIP: 36176XJ91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8717948 | PA      | $8267127.79    | 0.48%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 5/42 #779244                                                      | CUSIP: 36176XP52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     119782 | PA      | $116891.95     | 0.01%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 05/15/2042#779221                                             | CUSIP: 36176XPE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4303051 | PA      | $4080532.69    | 0.24%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 05/15/2042#779222                                             | CUSIP: 36176XPF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1457913 | PA      | $1380849.74    | 0.08%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #779843                                                     | CUSIP: 36176YEQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81899 | PA      | $79530.48      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #779846                                                     | CUSIP: 36176YET0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51507 | PA      | $50118.28      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 1/42 #790493                                                      | CUSIP: 36177JRP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49829 | PA      | $47172.82      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 1/42 #792907                                                      | CUSIP: 36177MGR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1243887 | PA      | $1178994.16    | 0.07%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 02/15/2042#792959                                             | CUSIP: 36177MJD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118305 | PA      | $115056.95     | 0.01%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 02/15/2042#794219                                             | CUSIP: 36177NVM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79334 | PA      | $77039.23      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 02/15/2042#794258                                             | CUSIP: 36177NWU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60918 | PA      | $59294.97      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 2/42 #794569                                                      | CUSIP: 36177PCF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     557674 | PA      | $529087.84     | 0.03%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 3/42 #794581                                                      | CUSIP: 36177PCT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     149883 | PA      | $142371.43     | 0.01%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 03/15/2042#794583                                             | CUSIP: 36177PCV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     866376 | PA      | $819651.27     | 0.05%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 3/42 #796175                                                      | CUSIP: 36177Q2H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     238342 | PA      | $225314.48     | 0.01%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 07/15/2042#799350                                             | CUSIP: 36177UL85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     189091 | PA      | $183279.64     | 0.01%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 05/15/2042#AA0128                                             | CUSIP: 36177WD98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45231 | PA      | $42707.99      | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 09/15/2042#AA1346                                             | CUSIP: 36177XP77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6183 | PA      | $5712.24       | 0.00%             | 2042-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 12/15/2042#AA3361                                             | CUSIP: 36178AWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1807 | PA      | $1668.73       | 0.00%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 04/15/2043#AA6286                                             | CUSIP: 36178D6X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     162615 | PA      | $149833.49     | 0.01%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 04/15/2043#AA6291                                             | CUSIP: 36178D7C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106445 | PA      | $98230.77      | 0.01%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 7/42 #AA5451                                                      | CUSIP: 36178DBU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7351157 | PA      | $6931659.15    | 0.40%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 07/15/2042#AA5452                                             | CUSIP: 36178DBV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     888978 | PA      | $836905.85     | 0.05%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 09/15/2042#AA5648                                             | CUSIP: 36178DHZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12694 | PA      | $11714.31      | 0.00%             | 2042-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 2.5% 10/15/2042#AA5729                                             | CUSIP: 36178DLJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154105 | PA      | $137743.90     | 0.01%             | 2042-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.0% 12/20/2042#AA5872                                               | CUSIP: 36178DQZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12693158 | PA      | $11706941.19   | 0.68%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 2.5% 12/15/2042#AA5894                                             | CUSIP: 36178DRP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     394995 | PA      | $355064.64     | 0.02%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 12/15/2042#AA5897                                             | CUSIP: 36178DRS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1470605 | PA      | $1353457.80    | 0.08%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 2.5% 12/15/2042#AA5947                                             | CUSIP: 36178DTC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     147130 | PA      | $131846.31     | 0.01%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.0% 03/20/2043#AA6149                                               | CUSIP: 36178DZN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1482972 | PA      | $1369809.16    | 0.08%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2043#AA6407                                             | CUSIP: 36178EDL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12136 | PA      | $11156.60      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 08/15/2042#AA7993                                             | CUSIP: 36178F3A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     189454 | PA      | $179098.69     | 0.01%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.00% 9/42 #AA7474                                                      | CUSIP: 36178FJT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     267632 | PA      | $247949.95     | 0.01%             | 2042-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 06/15/2042#AA7854                                             | CUSIP: 36178FWP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64590 | PA      | $62522.69      | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 08/15/2042#AA7963                                             | CUSIP: 36178FZ41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43087 | PA      | $40560.48      | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 08/15/2042#AA8561                                             | CUSIP: 36178GQN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     257516 | PA      | $242709.36     | 0.01%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 10/15/2042#AA8591                                             | CUSIP: 36178GRL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     196358 | PA      | $184887.40     | 0.01%             | 2042-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 08/15/2042#AB1299                                             | CUSIP: 36178LNQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32463 | PA      | $29820.31      | 0.00%             | 2042-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 08/15/2042#AB1489                                             | CUSIP: 36178LUN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5602 | PA      | $5455.00       | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.00% 9/42 #AB2888                                                      | CUSIP: 36178NF53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59383 | PA      | $54778.83      | 0.00%             | 2042-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 09/15/2042#AB2871                                             | CUSIP: 36178NFL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80186 | PA      | $74055.68      | 0.00%             | 2042-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 09/15/2042#AB2999                                             | CUSIP: 36178NKL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122780 | PA      | $113437.44     | 0.01%             | 2042-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 2.5% 12/15/2042#AB3093                                             | CUSIP: 36178NNJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25320 | PA      | $22916.77      | 0.00%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.00% 9/42 #AB3385                                                      | CUSIP: 36178NXN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     133144 | PA      | $123400.84     | 0.01%             | 2042-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.00% 9/42 #AB3645                                                      | CUSIP: 36178QBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     500333 | PA      | $463170.31     | 0.03%             | 2042-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 12/20/2042#AB7784                                               | CUSIP: 36178UUH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     325946 | PA      | $307017.88     | 0.02%             | 2042-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.00% 10/42 #AB8351                                                     | CUSIP: 36178VH46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1148323 | PA      | $1059293.26    | 0.06%             | 2042-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 2.5% 12/15/2042#AB8379                                             | CUSIP: 36178VJY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2026538 | PA      | $1820724.77    | 0.11%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 2.5% 12/15/2042#AB8391                                             | CUSIP: 36178VKC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1829902 | PA      | $1641505.57    | 0.10%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 11/15/2042#AB9437                                             | CUSIP: 36178WPW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38161 | PA      | $35813.61      | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 07/15/2043#AC0663                                             | CUSIP: 36178YWY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9417 | PA      | $8863.92       | 0.00%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 06/15/2043#AC2222                                             | CUSIP: 36179BPF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93632 | PA      | $87129.52      | 0.01%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 2.5% 12/15/2042#AC2953                                             | CUSIP: 36179CH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     141390 | PA      | $127096.99     | 0.01%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 06/15/2043#AC6072                                             | CUSIP: 36179FW92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     813146 | PA      | $749233.61     | 0.04%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2043#AC6043                                             | CUSIP: 36179FWC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     250489 | PA      | $231791.92     | 0.01%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 02/20/2043#MA0781                                               | CUSIP: 36179M2N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     327879 | PA      | $294506.80     | 0.02%             | 2043-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 2/20/43 #MA0782                                                 | CUSIP: 36179M2P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8705746 | PA      | $8061021.70    | 0.47%             | 2043-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 02/20/2043#MA0783                                               | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     358400 | PA      | $339925.25     | 0.02%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 03/20/2043#MA0850                                               | CUSIP: 36179M5K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     505763 | PA      | $454260.77     | 0.03%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 01/20/2043#MA0852                                               | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     820399 | PA      | $777932.21     | 0.05%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 4/42 #MA0023                                                   | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     929356 | PA      | $904955.66     | 0.05%             | 2042-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3.5% 05/20/2027#MA0074                                             | CUSIP: 36179MCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     158195 | PA      | $157505.86     | 0.01%             | 2027-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 05/20/2042#MA0087                                               | CUSIP: 36179MCY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75243 | PA      | $69849.15      | 0.00%             | 2042-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 06/20/2042#MA0153                                               | CUSIP: 36179ME22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81676 | PA      | $75716.61      | 0.00%             | 2042-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 6/42 #MA0155                                                   | CUSIP: 36179ME48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30820 | PA      | $30001.79      | 0.00%             | 2042-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 08/20/2042#MA0317                                               | CUSIP: 36179MK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10400 | PA      | $9642.59       | 0.00%             | 2042-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 09/20/2042 #MA0391                                              | CUSIP: 36179MNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     914636 | PA      | $847907.93     | 0.05%             | 2042-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 02/20/2041#MA0434                                               | CUSIP: 36179MPT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     300285 | PA      | $272829.78     | 0.02%             | 2041-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 09/20/2042#MA0436                                               | CUSIP: 36179MPV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     403223 | PA      | $361909.79     | 0.02%             | 2042-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 10/20/2042#MA0460                                               | CUSIP: 36179MQM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1013452 | PA      | $911336.96     | 0.05%             | 2042-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.00% 10/42 #MA0461                                                  | CUSIP: 36179MQN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     555814 | PA      | $515095.03     | 0.03%             | 2042-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 11/20/2042#MA0532                                               | CUSIP: 36179MSV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1626979 | PA      | $1464148.92    | 0.08%             | 2042-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 30YR 3.00% 11/42 #MA0533                                                | CUSIP: 36179MSW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27904 | PA      | $25860.93      | 0.00%             | 2042-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 12/20/2042#MA0623                                               | CUSIP: 36179MVQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     400668 | PA      | $360792.99     | 0.02%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 12/20/2042#MA0624                                               | CUSIP: 36179MVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5075356 | PA      | $4700892.95    | 0.27%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 01/20/2043#MA0697                                               | CUSIP: 36179MX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3458730 | PA      | $3108252.71    | 0.18%             | 2043-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 01/20/2043#MA0698                                               | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6906971 | PA      | $6397572.47    | 0.37%             | 2043-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 02/20/2044#MA1677                                               | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3985 | PA      | $3767.17       | 0.00%             | 2044-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 03/20/44#MA1760                                                 | CUSIP: 36179N5V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3986 | PA      | $3766.86       | 0.00%             | 2044-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 04/20/2043#MA0933                                               | CUSIP: 36179NBA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     273309 | PA      | $252884.15     | 0.01%             | 2043-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 04/20/2043#MA0934                                               | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5154773 | PA      | $4886827.00    | 0.28%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 05/43 #MA1012                                                   | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3357510 | PA      | $3168601.48    | 0.18%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 06/20/2043#MA1089                                               | CUSIP: 36179NF60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     698405 | PA      | $645585.89     | 0.04%             | 2043-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 07/20/2043#MA1156                                               | CUSIP: 36179NH92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     631971 | PA      | $583971.06     | 0.03%             | 2043-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 07/20/2043#MA1157                                               | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11094 | PA      | $10514.76      | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 08/20/2043#MA1223                                               | CUSIP: 36179NLC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     641982 | PA      | $593008.73     | 0.03%             | 2043-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 08/20/2043#MA1224                                               | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     336221 | PA      | $318424.55     | 0.02%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 09/20/2043#MA1284                                               | CUSIP: 36179NM96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1763977 | PA      | $1628679.01    | 0.09%             | 2043-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 09/20/2043#MA1285                                               | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     288281 | PA      | $272872.18     | 0.02%             | 2043-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 07/20/2043#MA1374                                               | CUSIP: 36179NQ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8435989 | PA      | $7791293.76    | 0.45%             | 2043-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 10/20/2043#MA1375                                               | CUSIP: 36179NQ43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8673 | PA      | $8209.12       | 0.00%             | 2043-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 11/20/2043#MA1448                                               | CUSIP: 36179NTD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18293 | PA      | $17309.65      | 0.00%             | 2043-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 01/20/2044#MA1600                                               | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127701 | PA      | $120754.83     | 0.01%             | 2044-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 04/20/2044#MA1838                                               | CUSIP: 36179QBF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9453 | PA      | $8929.94       | 0.00%             | 2044-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 06/15/2043#AD0721                                             | CUSIP: 36180BYS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33370 | PA      | $30806.52      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 06/15/2043#AD0757                                             | CUSIP: 36180BZW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35325 | PA      | $32473.42      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.0% 02/20/2043#AD1744                                               | CUSIP: 36180C5D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2109086 | PA      | $1949658.22    | 0.11%             | 2043-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2043#AD2675                                             | CUSIP: 36180D6L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     285834 | PA      | $261973.01     | 0.02%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 02/15/2043#AD2177                                             | CUSIP: 36180DM20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82418 | PA      | $77840.69      | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2043#AD5634                                             | CUSIP: 36180HHK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     196823 | PA      | $180800.08     | 0.01%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 05/15/2043#AD5638                                             | CUSIP: 36180HHP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     152952 | PA      | $147792.88     | 0.01%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 06/15/2043#AD5663                                             | CUSIP: 36180HJG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     252883 | PA      | $244787.13     | 0.01%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 04/15/2043#AD6303                                             | CUSIP: 36180JAC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     491544 | PA      | $451017.95     | 0.03%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 04/15/2043#AD9012                                             | CUSIP: 36180NAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     208584 | PA      | $202690.11     | 0.01%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.0% 05/15/43 #AD9099                                                   | CUSIP: 36180NDC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130899 | PA      | $127242.40     | 0.01%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 05/15/2043#AD9105                                             | CUSIP: 36180NDJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     278873 | PA      | $270760.80     | 0.02%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2043#AD9725                                             | CUSIP: 36180NYW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     749771 | PA      | $687438.73     | 0.04%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 04/15/2043#AE0544                                             | CUSIP: 36180SS96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     438208 | PA      | $402993.19     | 0.02%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 04/15/2043#AE0545                                             | CUSIP: 36180STA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1536181 | PA      | $1415438.82    | 0.08%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2043#AE1857                                             | CUSIP: 36180UB24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     622790 | PA      | $572959.91     | 0.03%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 06/15/2043#AE7026                                             | CUSIP: 36181AYX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5166 | PA      | $4762.00       | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2043#AE9880                                             | CUSIP: 36181D6R2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     650955 | PA      | $598871.63     | 0.03%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2043#AE9881                                             | CUSIP: 36181D6S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     385233 | PA      | $354410.49     | 0.02%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 06/15/2043#AE9987                                             | CUSIP: 36181ECY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     757652 | PA      | $695185.97     | 0.04%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 06/15/2043#AF0125                                             | CUSIP: 36181FD65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29465 | PA      | $28660.51      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 07/15/2043#AF2677                                             | CUSIP: 36181H6N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53323 | PA      | $49113.18      | 0.00%             | 2043-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 08/15/2043#AF3826                                             | CUSIP: 36181KHB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     129958 | PA      | $119882.23     | 0.01%             | 2043-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 08/15/43#AF5070                                               | CUSIP: 36181LT32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7020 | PA      | $6801.73       | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 11/20/2044#AJ9708                                               | CUSIP: 36183FYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     978428 | PA      | $915395.67     | 0.05%             | 2044-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 10/20/2044#AK0798                                               | CUSIP: 36183H3F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1741273 | PA      | $1631688.11    | 0.09%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 11/20/2044#AK0810                                               | CUSIP: 36183H3T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1255748 | PA      | $1174400.07    | 0.07%             | 2044-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 12/20/2044#AK2638                                               | CUSIP: 36183K4X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     648618 | PA      | $606463.46     | 0.04%             | 2044-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 11/20/2044#AK2823                                               | CUSIP: 36183LD45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6513655 | PA      | $6098165.85    | 0.35%             | 2044-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 01/15/2045#AK8148                                             | CUSIP: 36183SBR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     385205 | PA      | $359225.28     | 0.02%             | 2045-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 01/15/2045#AK8150                                             | CUSIP: 36183SBT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     285608 | PA      | $275084.68     | 0.02%             | 2045-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.75% 08/20/2045#AK8792                                              | CUSIP: 36183SXV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1387110 | PA      | $1306685.93    | 0.08%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.75% 09/20/2045#AK8793                                              | CUSIP: 36183SXW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1075897 | PA      | $1013733.31    | 0.06%             | 2045-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.75% 10/20/2045#AK8794                                              | CUSIP: 36183SXX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2250841 | PA      | $2121720.52    | 0.12%             | 2045-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.75% 11/20/2045#AK8795                                              | CUSIP: 36183SXY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     806742 | PA      | $759967.52     | 0.04%             | 2045-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 03/15/2045#AL3862                                             | CUSIP: 36184AJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66176 | PA      | $60211.56      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 03/15/2045#AL5704                                             | CUSIP: 36184CKR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     421907 | PA      | $384844.30     | 0.02%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 03/15/2045#AL8635                                             | CUSIP: 36184FSY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11661 | PA      | $10687.65      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 04/15/2045#AL9296                                             | CUSIP: 36184HKH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12550 | PA      | $11402.82      | 0.00%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 08/15/2035#595801                                             | CUSIP: 36200A3J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4084 | PA      | $4164.98       | 0.00%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 2/33 #597877                                                      | CUSIP: 36200DFS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13428 | PA      | $13739.66      | 0.00%             | 2033-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 4/33 #598172                                                      | CUSIP: 36200DQZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1109 | PA      | $1151.88       | 0.00%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 1/33 #600018                                                      | CUSIP: 36200FSF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        114 | PA      | $119.11        | 0.00%             | 2033-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 1/33 #601476                                                      | CUSIP: 36200HFR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22843 | PA      | $23798.10      | 0.00%             | 2033-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 08/15/2033#603089                                             | CUSIP: 36200J7A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72720 | PA      | $73972.63      | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 7/33 #602249                                                      | CUSIP: 36200JBS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3007 | PA      | $3047.10       | 0.00%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 6/34 #602419                                                      | CUSIP: 36200JG46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15719 | PA      | $16143.63      | 0.00%             | 2034-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 3/36 #602552                                                      | CUSIP: 36200JL99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19633 | PA      | $20030.32      | 0.00%             | 2036-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 5/33 #603671                                                      | CUSIP: 36200KT49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        578 | PA      | $587.50        | 0.00%             | 2033-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 05/15/2033#604338                                             | CUSIP: 36200MLT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13988 | PA      | $14221.59      | 0.00%             | 2033-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 6/33 #604422                                                      | CUSIP: 36200MPF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6659 | PA      | $6772.20       | 0.00%             | 2033-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 8/33 #604514                                                      | CUSIP: 36200MSB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2194 | PA      | $2228.48       | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 8/33 #604580                                                      | CUSIP: 36200MUD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        606 | PA      | $616.29        | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 9/33 #604639                                                      | CUSIP: 36200MV83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4669 | PA      | $4749.77       | 0.00%             | 2033-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 10/33 #604730                                                     | CUSIP: 36200MY31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12800 | PA      | $13036.71      | 0.00%             | 2033-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 04/15/2034#605185                                             | CUSIP: 36200NJ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1050 | PA      | $1069.13       | 0.00%             | 2034-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 6/34 #605443                                                      | CUSIP: 36200NS85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7888 | PA      | $8035.46       | 0.00%             | 2034-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 5/34 #605426                                                      | CUSIP: 36200NSP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        645 | PA      | $656.45        | 0.00%             | 2034-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/32 #569793                                                      | CUSIP: 36200Q7E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28732 | PA      | $30121.35      | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/32 #569798                                                      | CUSIP: 36200Q7K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        937 | PA      | $956.94        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/32 #569424                                                      | CUSIP: 36200QSM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20462 | PA      | $21276.24      | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/32 #569880                                                      | CUSIP: 36200RCR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14508 | PA      | $14932.29      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 06/15/2033#572049                                             | CUSIP: 36200TQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3057 | PA      | $3111.71       | 0.00%             | 2033-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 10/34 #572134                                                     | CUSIP: 36200TSX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62203 | PA      | $63954.14      | 0.00%             | 2034-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/31 #573691                                                     | CUSIP: 36200VKC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        312 | PA      | $318.81        | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 4/34 #574567                                                      | CUSIP: 36200WJL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32222 | PA      | $33078.03      | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 4/34 #574678                                                      | CUSIP: 36200WM32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7768 | PA      | $7980.74       | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 9/34 #574764                                                      | CUSIP: 36200WQR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        207 | PA      | $218.62        | 0.00%             | 2034-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/32 #576236                                                      | CUSIP: 36200YEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1173 | PA      | $1213.61       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 3/32 #576461                                                      | CUSIP: 36200YMJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4422 | PA      | $4564.51       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/32 #577424                                                      | CUSIP: 36201APH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        689 | PA      | $713.69        | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/32 #577618                                                      | CUSIP: 36201AVK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36827 | PA      | $38259.63      | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 8/33 #581557                                                      | CUSIP: 36201FB22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        127 | PA      | $127.85        | 0.00%             | 2033-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/32 #581720                                                      | CUSIP: 36201FG50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6482 | PA      | $6598.06       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/32 #581761                                                      | CUSIP: 36201FJE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        214 | PA      | $220.06        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/32 #581931                                                      | CUSIP: 36201FPQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1241 | PA      | $1298.19       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/32 #582098                                                      | CUSIP: 36201FUX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         40 | PA      | $40.50         | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/32 #582197                                                      | CUSIP: 36201FX28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9292 | PA      | $9630.88       | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/32 #582239                                                      | CUSIP: 36201FZC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6750 | PA      | $7005.56       | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/32 #582260                                                      | CUSIP: 36201FZZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1902 | PA      | $1970.45       | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 2/32 #583179                                                      | CUSIP: 36201G2L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4205 | PA      | $4362.87       | 0.00%             | 2032-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 3/32 #583203                                                      | CUSIP: 36201G3L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        346 | PA      | $358.94        | 0.00%             | 2032-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 6/32 #583276                                                      | CUSIP: 36201G6M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1001 | PA      | $1040.28       | 0.00%             | 2032-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 2/32 #582957                                                      | CUSIP: 36201GTN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56722 | PA      | $59296.61      | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 8/32 #583311                                                      | CUSIP: 36201HAL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44357 | PA      | $46135.19      | 0.00%             | 2032-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 10/32 #583358                                                     | CUSIP: 36201HB36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34614 | PA      | $36037.59      | 0.00%             | 2032-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 10/32 #583368                                                     | CUSIP: 36201HCD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83193 | PA      | $85069.87      | 0.00%             | 2032-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 3/32 #583559                                                      | CUSIP: 36201HJC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3127 | PA      | $3284.54       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/32 #583605                                                      | CUSIP: 36201HKS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9677 | PA      | $10105.09      | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/32 #583647                                                      | CUSIP: 36201HL43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25425 | PA      | $26334.79      | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/32 #583622                                                      | CUSIP: 36201HLB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        961 | PA      | $997.91        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 4/29 #583752                                                      | CUSIP: 36201HQD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45753 | PA      | $46761.15      | 0.00%             | 2029-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/32 #583935                                                      | CUSIP: 36201HV42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3123 | PA      | $3235.93       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 2/32 #584984                                                      | CUSIP: 36201J2R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10064 | PA      | $10586.66      | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.45% 6/32 #586009                                                      | CUSIP: 36201LAJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31520 | PA      | $33019.54      | 0.00%             | 2032-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 07/15/2034#586151                                             | CUSIP: 36201LEY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1180 | PA      | $1202.53       | 0.00%             | 2034-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/34 #586344                                                     | CUSIP: 36201LLZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        290 | PA      | $307.93        | 0.00%             | 2034-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 3/32 #586541                                                      | CUSIP: 36201LS62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4719 | PA      | $4961.64       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 12/32 #586520                                                     | CUSIP: 36201LSH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38730 | PA      | $40348.91      | 0.00%             | 2032-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/32 #586738                                                      | CUSIP: 36201LZB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7962 | PA      | $8268.92       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 2/32 #587023                                                      | CUSIP: 36201MD41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3707 | PA      | $3896.34       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/32 #590024                                                      | CUSIP: 36201QPH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7407 | PA      | $7695.35       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 12/33 #590182                                                     | CUSIP: 36201QUF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31230 | PA      | $32059.83      | 0.00%             | 2033-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/32 #590196                                                      | CUSIP: 36201QUV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        130 | PA      | $134.96        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/32 #593188                                                      | CUSIP: 36201T6Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2079 | PA      | $2156.10       | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/32 #593193                                                      | CUSIP: 36201T7E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        516 | PA      | $520.65        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 5/33 #593685                                                      | CUSIP: 36201URE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     239774 | PA      | $245854.17     | 0.01%             | 2033-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 11/33 #593762                                                     | CUSIP: 36201UTT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100672 | PA      | $104881.12     | 0.01%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 11/33 #593768                                                     | CUSIP: 36201UTZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63594 | PA      | $65301.82      | 0.00%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 12/33 #593782                                                     | CUSIP: 36201UUF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73445 | PA      | $76414.61      | 0.00%             | 2033-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/32 #594266                                                      | CUSIP: 36201VFF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6861 | PA      | $7098.45       | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 7/33 #594722                                                      | CUSIP: 36201VVP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        792 | PA      | $805.29        | 0.00%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/32 #594858                                                      | CUSIP: 36201VZX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4072 | PA      | $4222.61       | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 12/34 #605802                                                     | CUSIP: 36201XAB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        499 | PA      | $508.77        | 0.00%             | 2034-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 7/33 #606155                                                      | CUSIP: 36201XMC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        367 | PA      | $379.06        | 0.00%             | 2033-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 4/34 #607504                                                      | CUSIP: 36201Y3M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59174 | PA      | $61438.68      | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 4/34 #607505                                                      | CUSIP: 36201Y3N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48843 | PA      | $50872.88      | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 4/34 #607506                                                      | CUSIP: 36201Y3P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20042 | PA      | $20825.95      | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 6/34 #607529                                                      | CUSIP: 36201Y4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38277 | PA      | $39884.88      | 0.00%             | 2034-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 9/33 #606856                                                      | CUSIP: 36201YE51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38102 | PA      | $39642.26      | 0.00%             | 2033-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 9/33 #607397                                                      | CUSIP: 36201YX27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37275 | PA      | $38240.62      | 0.00%             | 2033-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 4/28 #002576                                                      | CUSIP: 36202C2H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1253 | PA      | $1282.42       | 0.00%             | 2028-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 4/28 #002578                                                   | CUSIP: 36202C2K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5998 | PA      | $6173.75       | 0.00%             | 2028-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.00% 5/28 #002589                                                   | CUSIP: 36202C2W2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1246 | PA      | $1274.92       | 0.00%             | 2028-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 5/28 #002590                                                    | CUSIP: 36202C2X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         13 | PA      | $13.28         | 0.00%             | 2028-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 5/28 #002591                                                   | CUSIP: 36202C2Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14386 | PA      | $14807.44      | 0.00%             | 2028-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.00% 9/28 #002602                                                   | CUSIP: 36202C3K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         83 | PA      | $84.51         | 0.00%             | 2028-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 6/28 #002604                                                   | CUSIP: 36202C3M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        478 | PA      | $492.29        | 0.00%             | 2028-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 7/28 #002616                                                   | CUSIP: 36202C3Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        796 | PA      | $819.35        | 0.00%             | 2028-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 8/28 #002629                                                      | CUSIP: 36202C4N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28 | PA      | $28.97         | 0.00%             | 2028-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 8/28 #002630                                                    | CUSIP: 36202C4P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30696 | PA      | $31754.55      | 0.00%             | 2028-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 8/28 #002631                                                   | CUSIP: 36202C4Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6584 | PA      | $6776.55       | 0.00%             | 2028-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 9/28 #002643                                                      | CUSIP: 36202C5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2654 | PA      | $2715.90       | 0.00%             | 2028-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 9/28 #002645                                                   | CUSIP: 36202C5E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9929 | PA      | $10219.74      | 0.00%             | 2028-09-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 10/28 #002657                                                     | CUSIP: 36202C5S8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        111 | PA      | $113.79        | 0.00%             | 2028-10-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 10/28 #002658                                                   | CUSIP: 36202C5T6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1036 | PA      | $1072.02       | 0.00%             | 2028-10-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 10/28 #002659                                                  | CUSIP: 36202C5U3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6501 | PA      | $6691.67       | 0.00%             | 2028-10-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 11/28 #002671                                                     | CUSIP: 36202C6G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        688 | PA      | $703.83        | 0.00%             | 2028-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 11/28 #002673                                                   | CUSIP: 36202C6J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25793 | PA      | $26682.79      | 0.00%             | 2028-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 11/28 #002675                                                  | CUSIP: 36202C6L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10371 | PA      | $10675.20      | 0.00%             | 2028-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 12/28 #002690                                                  | CUSIP: 36202C7B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4152 | PA      | $4273.46       | 0.00%             | 2028-12-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 3/26 #002184                                                   | CUSIP: 36202CM91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $4.72          | 0.00%             | 2026-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 4/26 #002202                                                   | CUSIP: 36202CNT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $2.91          | 0.00%             | 2026-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 6/26 #002231                                                   | CUSIP: 36202CPQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         35 | PA      | $35.20         | 0.00%             | 2026-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 1/27 #002359                                                   | CUSIP: 36202CTQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         59 | PA      | $58.91         | 0.00%             | 2027-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 3/27 #002394                                                   | CUSIP: 36202CUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        758 | PA      | $761.81        | 0.00%             | 2027-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 5/27 #002430                                                   | CUSIP: 36202CVX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2084 | PA      | $2144.76       | 0.00%             | 2027-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 9/27 #002483                                                   | CUSIP: 36202CXL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1849 | PA      | $1903.01       | 0.00%             | 2027-09-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 1/28 #002535                                                   | CUSIP: 36202CY80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         25 | PA      | $25.62         | 0.00%             | 2028-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.50% 1/28 #002536                                                   | CUSIP: 36202CY98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10380 | PA      | $10538.53      | 0.00%             | 2028-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 12/27 #002520                                                     | CUSIP: 36202CYR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        512 | PA      | $523.70        | 0.00%             | 2027-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 12/27 #002522                                                  | CUSIP: 36202CYT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        760 | PA      | $782.70        | 0.00%             | 2027-12-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 3/28 #002562                                                      | CUSIP: 36202CZ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        469 | PA      | $479.73        | 0.00%             | 2028-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 3/28 #002564                                                   | CUSIP: 36202CZ55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        376 | PA      | $386.85        | 0.00%             | 2028-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 2/28 #002546                                                      | CUSIP: 36202CZK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         80 | PA      | $82.11         | 0.00%             | 2028-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 2/28 #002548                                                   | CUSIP: 36202CZM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22042 | PA      | $22687.36      | 0.00%             | 2028-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 11/33 #003472                                                     | CUSIP: 36202D2D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10105 | PA      | $10267.25      | 0.00%             | 2033-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 11/33 #003485                                                  | CUSIP: 36202D2S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38189 | PA      | $37742.29      | 0.00%             | 2033-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 1/34 #003499                                                      | CUSIP: 36202D3G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12075 | PA      | $12267.81      | 0.00%             | 2034-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.50% 1/34 #003502                                                   | CUSIP: 36202D3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        581 | PA      | $609.28        | 0.00%             | 2034-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 2/34 #003513                                                      | CUSIP: 36202D3W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1055 | PA      | $1072.02       | 0.00%             | 2034-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 3/34 #003529                                                      | CUSIP: 36202D4N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1849 | PA      | $1878.68       | 0.00%             | 2034-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 4/34 #003543                                                      | CUSIP: 36202D5C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10260 | PA      | $10429.94      | 0.00%             | 2034-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 5/34 #003555                                                      | CUSIP: 36202D5Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30210 | PA      | $30712.11      | 0.00%             | 2034-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 6/34 #003568                                                      | CUSIP: 36202D6D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33548 | PA      | $34113.34      | 0.00%             | 2034-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 6/34 #003571                                                    | CUSIP: 36202D6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2151 | PA      | $2257.87       | 0.00%             | 2034-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 7/34 #003582                                                      | CUSIP: 36202D6T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62857 | PA      | $63915.93      | 0.00%             | 2034-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7% 7/34 #003587                                                      | CUSIP: 36202D6Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     182280 | PA      | $191402.51     | 0.01%             | 2034-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 8/34 #003595                                                      | CUSIP: 36202D7G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        539 | PA      | $548.11        | 0.00%             | 2034-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 8/34 #003599                                                    | CUSIP: 36202D7L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2750 | PA      | $2892.55       | 0.00%             | 2034-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7% 8/34 #003600                                                      | CUSIP: 36202D7M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23268 | PA      | $24477.28      | 0.00%             | 2034-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 3/29 #002728                                                      | CUSIP: 36202DA50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        286 | PA      | $293.11        | 0.00%             | 2029-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 3/29 #002730                                                   | CUSIP: 36202DA76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        355 | PA      | $365.53        | 0.00%             | 2029-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 1/29 #002701                                                    | CUSIP: 36202DAA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        168 | PA      | $173.87        | 0.00%             | 2029-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 2/29 #002714                                                    | CUSIP: 36202DAP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1060 | PA      | $1096.67       | 0.00%             | 2029-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 2/29 #002716                                                   | CUSIP: 36202DAR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2549 | PA      | $2624.04       | 0.00%             | 2029-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.00% 4/29 #002740                                                   | CUSIP: 36202DBH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2025 | PA      | $2071.90       | 0.00%             | 2029-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.00% 5/29 #002753                                                   | CUSIP: 36202DBW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43744 | PA      | $44760.92      | 0.00%             | 2029-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 5/29 #002755                                                   | CUSIP: 36202DBY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3835 | PA      | $3947.63       | 0.00%             | 2029-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 8/29 #002794                                                      | CUSIP: 36202DC74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        353 | PA      | $361.34        | 0.00%             | 2029-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 8/29 #002796                                                   | CUSIP: 36202DC90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20402 | PA      | $20999.51      | 0.00%             | 2029-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.00% 6/29 #002766                                                   | CUSIP: 36202DCB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        997 | PA      | $1020.58       | 0.00%             | 2029-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 7/29 #002780                                                      | CUSIP: 36202DCR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3487 | PA      | $3567.57       | 0.00%             | 2029-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 7/29 #002783                                                   | CUSIP: 36202DCU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         14 | PA      | $14.22         | 0.00%             | 2029-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 10/29 #002823                                                   | CUSIP: 36202DD40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        141 | PA      | $145.49        | 0.00%             | 2029-10-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.50% 11/29 #002837                                                  | CUSIP: 36202DEJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1668 | PA      | $1725.58       | 0.00%             | 2029-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 12/29 #002850                                                     | CUSIP: 36202DEX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13058 | PA      | $13360.97      | 0.00%             | 2029-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 12/29 #002852                                                  | CUSIP: 36202DEZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2413 | PA      | $2485.87       | 0.00%             | 2029-12-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7% 1/30 #002866                                                      | CUSIP: 36202DFF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12344 | PA      | $12722.08      | 0.00%             | 2030-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 2/30 #002882                                                   | CUSIP: 36202DFX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24839 | PA      | $25600.26      | 0.00%             | 2030-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 3/30 #002895                                                   | CUSIP: 36202DGC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34317 | PA      | $35347.54      | 0.00%             | 2030-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 11/30 #002998                                                  | CUSIP: 36202DKK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52687 | PA      | $54554.29      | 0.00%             | 2030-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 12/30 #003010                                                  | CUSIP: 36202DKX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     113326 | PA      | $117341.66     | 0.01%             | 2030-12-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 1/31 #003025                                                    | CUSIP: 36202DLE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2234 | PA      | $2311.38       | 0.00%             | 2031-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 1/31 #003026                                                   | CUSIP: 36202DLF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7669 | PA      | $7953.59       | 0.00%             | 2031-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 2/31 #003039                                                    | CUSIP: 36202DLU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6168 | PA      | $6389.01       | 0.00%             | 2031-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 2/31 #003040                                                   | CUSIP: 36202DLV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4622 | PA      | $4793.61       | 0.00%             | 2031-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 5/31 #003080                                                    | CUSIP: 36202DM57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2340 | PA      | $2426.54       | 0.00%             | 2031-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 5/31 #003081                                                   | CUSIP: 36202DM65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     113392 | PA      | $117660.85     | 0.01%             | 2031-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 3/31 #003053                                                    | CUSIP: 36202DMA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26747 | PA      | $27691.11      | 0.00%             | 2031-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 3/31 #003054                                                   | CUSIP: 36202DMB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14076 | PA      | $14613.91      | 0.00%             | 2031-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 4/31 #003067                                                      | CUSIP: 36202DMQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     255364 | PA      | $262531.80     | 0.02%             | 2031-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 4/31 #003069                                                   | CUSIP: 36202DMS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4453 | PA      | $4625.57       | 0.00%             | 2031-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.50% 7/31 #003109                                                   | CUSIP: 36202DN23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1915 | PA      | $1995.67       | 0.00%             | 2031-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 6/31 #003096                                                   | CUSIP: 36202DNM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93086 | PA      | $96640.30      | 0.01%             | 2031-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.5% 6/31 #003097                                                    | CUSIP: 36202DNN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12892 | PA      | $13469.24      | 0.00%             | 2031-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 7/31 #003108                                                   | CUSIP: 36202DNZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     409128 | PA      | $425183.66     | 0.02%             | 2031-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 8/31 #003121                                                   | CUSIP: 36202DPE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     142679 | PA      | $148279.45     | 0.01%             | 2031-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.5% 8/31 #003122                                                    | CUSIP: 36202DPF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52981 | PA      | $55384.55      | 0.00%             | 2031-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 9/31 #003133                                                    | CUSIP: 36202DPS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3938 | PA      | $4089.36       | 0.00%             | 2031-09-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 9/31 #003134                                                   | CUSIP: 36202DPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11876 | PA      | $12366.15      | 0.00%             | 2031-09-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 10/31 #003151                                                  | CUSIP: 36202DQC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19422 | PA      | $20194.28      | 0.00%             | 2031-10-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.00% 11/31 #003160                                                  | CUSIP: 36202DQM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32693 | PA      | $33702.58      | 0.00%             | 2031-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 11/31 #003161                                                   | CUSIP: 36202DQN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59889 | PA      | $62216.11      | 0.00%             | 2031-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7% 11/31 #003162                                                     | CUSIP: 36202DQP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24173 | PA      | $25147.01      | 0.00%             | 2031-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.0% 02/20/2032#003212                                               | CUSIP: 36202DR94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1228 | PA      | $1231.04       | 0.00%             | 2032-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.0% 01/20/2032#003184                                               | CUSIP: 36202DRD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        223 | PA      | $226.44        | 0.00%             | 2032-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 1/32 #003187                                                      | CUSIP: 36202DRG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3118 | PA      | $3216.25       | 0.00%             | 2032-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 1/32 #003188                                                    | CUSIP: 36202DRH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21441 | PA      | $22274.35      | 0.00%             | 2032-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.0% 02/20/2032#003198                                               | CUSIP: 36202DRT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        607 | PA      | $614.61        | 0.00%             | 2032-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.00% 2/32 #003200                                                   | CUSIP: 36202DRV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1333 | PA      | $1375.00       | 0.00%             | 2032-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7% 2/32 #003202                                                      | CUSIP: 36202DRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66589 | PA      | $69338.15      | 0.00%             | 2032-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.00% 5/32 #003238                                                   | CUSIP: 36202DS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92507 | PA      | $95569.52      | 0.01%             | 2032-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 3/32 #003216                                                   | CUSIP: 36202DSD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14039 | PA      | $14632.02      | 0.00%             | 2032-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 4/32 #003228                                                    | CUSIP: 36202DSR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1847 | PA      | $1924.03       | 0.00%             | 2032-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 8/32 #003275                                                   | CUSIP: 36202DT84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87436 | PA      | $91254.97      | 0.01%             | 2032-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 6/32 #003247                                                      | CUSIP: 36202DTC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     155833 | PA      | $158044.63     | 0.01%             | 2032-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 6/32 #003249                                                      | CUSIP: 36202DTE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        135 | PA      | $139.13        | 0.00%             | 2032-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 6/32 #003251                                                   | CUSIP: 36202DTG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     221230 | PA      | $231004.50     | 0.01%             | 2032-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 7/32 #003262                                                   | CUSIP: 36202DTT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118731 | PA      | $123918.64     | 0.01%             | 2032-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.50% 7/32 #003263                                                   | CUSIP: 36202DTU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15428 | PA      | $16183.36      | 0.00%             | 2032-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 11/32 #003305                                                  | CUSIP: 36202DU66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23852 | PA      | $24210.19      | 0.00%             | 2032-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.00% 9/32 #003285                                                   | CUSIP: 36202DUJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1021405 | PA      | $1055950.49    | 0.06%             | 2032-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 10/32 #003294                                                  | CUSIP: 36202DUT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87164 | PA      | $88471.44      | 0.01%             | 2032-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 10/32 #003298                                                  | CUSIP: 36202DUX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3308 | PA      | $3456.85       | 0.00%             | 2032-10-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.0% 12/20/2032#003319                                               | CUSIP: 36202DVL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9063 | PA      | $9203.78       | 0.00%             | 2032-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 12/32 #003323                                                  | CUSIP: 36202DVQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34913 | PA      | $36438.58      | 0.00%             | 2032-12-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 1/33 #003331                                                      | CUSIP: 36202DVY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7103 | PA      | $7209.17       | 0.00%             | 2033-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 2/33 #003345                                                   | CUSIP: 36202DWE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27536 | PA      | $27941.62      | 0.00%             | 2033-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 2/33 #003357                                                   | CUSIP: 36202DWS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        439 | PA      | $434.09        | 0.00%             | 2033-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 3/33 #003359                                                      | CUSIP: 36202DWU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     224169 | PA      | $227620.47     | 0.01%             | 2033-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 6/33 #003402                                                   | CUSIP: 36202DX71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     258459 | PA      | $262470.92     | 0.02%             | 2033-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 4/33 #003374                                                      | CUSIP: 36202DXB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13109 | PA      | $13312.31      | 0.00%             | 2033-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 5/33 #003389                                                      | CUSIP: 36202DXS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24783 | PA      | $25164.27      | 0.00%             | 2033-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 7/33 #003414                                                      | CUSIP: 36202DYK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49476 | PA      | $50261.00      | 0.00%             | 2033-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 8/33 #003428                                                      | CUSIP: 36202DYZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     993517 | PA      | $1009134.34    | 0.06%             | 2033-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 9/33 #003442                                                      | CUSIP: 36202DZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2532911 | PA      | $2573025.57    | 0.15%             | 2033-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 10/33 #003458                                                  | CUSIP: 36202DZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21367 | PA      | $21707.57      | 0.00%             | 2033-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 2/39 #004369                                                   | CUSIP: 36202E2A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15237 | PA      | $15530.00      | 0.00%             | 2039-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 3/39 #004396                                                   | CUSIP: 36202E3D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46952 | PA      | $45995.91      | 0.00%             | 2039-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 4/39 #004422                                                   | CUSIP: 36202E4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2508 | PA      | $2456.08       | 0.00%             | 2039-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 5/39 #004445                                                   | CUSIP: 36202E5E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        995 | PA      | $973.87        | 0.00%             | 2039-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 6/39 #004467                                                   | CUSIP: 36202E6C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154430 | PA      | $151173.36     | 0.01%             | 2039-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 6/39 #004469                                                   | CUSIP: 36202E6E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     278569 | PA      | $283926.80     | 0.02%             | 2039-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 9/34 #003609                                                      | CUSIP: 36202EAJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1207 | PA      | $1227.97       | 0.00%             | 2034-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7% 9/34 #003613                                                      | CUSIP: 36202EAN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24671 | PA      | $26015.03      | 0.00%             | 2034-09-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.0% 10/20/2034#003623                                               | CUSIP: 36202EAY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2429 | PA      | $2470.60       | 0.00%             | 2034-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 1/35 #003664                                                      | CUSIP: 36202EB99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1020006 | PA      | $1037690.33    | 0.06%             | 2035-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 12/34 #003651                                                     | CUSIP: 36202EBU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57442 | PA      | $58442.20      | 0.00%             | 2034-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 3/35 #003690                                                      | CUSIP: 36202EC31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76326 | PA      | $77659.79      | 0.00%             | 2035-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 2/35 #003677                                                      | CUSIP: 36202ECN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        625 | PA      | $636.28        | 0.00%             | 2035-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 6/35 #003723                                                      | CUSIP: 36202ED48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11018 | PA      | $11213.40      | 0.00%             | 2035-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 4/35 #003701                                                      | CUSIP: 36202EDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        738 | PA      | $751.15        | 0.00%             | 2035-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 5/35 #003710                                                      | CUSIP: 36202EDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75938 | PA      | $77269.74      | 0.00%             | 2035-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 9/35 #003759                                                      | CUSIP: 36202EE88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     111173 | PA      | $113157.36     | 0.01%             | 2035-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 7/35 #003735                                                   | CUSIP: 36202EEG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8448 | PA      | $8598.59       | 0.00%             | 2035-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 8/35 #003747                                                      | CUSIP: 36202EEU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     110207 | PA      | $112173.12     | 0.01%             | 2035-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 11/35 #003785                                                     | CUSIP: 36202EF20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34979 | PA      | $35604.73      | 0.00%             | 2035-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 2/36 #003817                                                   | CUSIP: 36202EG29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44345 | PA      | $45152.73      | 0.00%             | 2036-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 12/35 #003795                                                  | CUSIP: 36202EGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     540582 | PA      | $550320.82     | 0.03%             | 2035-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 3/36 #003829                                                      | CUSIP: 36202EHE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29569 | PA      | $30105.09      | 0.00%             | 2036-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 4/36 #003840                                                      | CUSIP: 36202EHR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8712 | PA      | $8870.60       | 0.00%             | 2036-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 6/36 #003863                                                      | CUSIP: 36202EJG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11627 | PA      | $11839.04      | 0.00%             | 2036-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 9/36 #003897                                                   | CUSIP: 36202EKJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4979 | PA      | $5071.35       | 0.00%             | 2036-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 12/36 #003929                                                  | CUSIP: 36202ELJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70511 | PA      | $71827.06      | 0.00%             | 2036-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 1/37 #003939                                                   | CUSIP: 36202ELU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        325 | PA      | $331.06        | 0.00%             | 2037-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 4/37 #003974                                                   | CUSIP: 36202EMX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1334 | PA      | $1358.67       | 0.00%             | 2037-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 7/37 #004004                                                   | CUSIP: 36202ENV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3682 | PA      | $3752.14       | 0.00%             | 2037-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 9/37 #004026                                                   | CUSIP: 36202EPK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3433 | PA      | $3498.10       | 0.00%             | 2037-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 6/38 #004168                                                   | CUSIP: 36202ETZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     108427 | PA      | $110489.64     | 0.01%             | 2038-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 10/41 #005280                                                  | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8295105 | PA      | $8081275.45    | 0.47%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3.50% 2/27 #005301                                                 | CUSIP: 36202F3J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2765 | PA      | $2754.11       | 0.00%             | 2027-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 2/42 #005305                                                   | CUSIP: 36202F3N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71627 | PA      | $69768.77      | 0.00%             | 2042-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 02/20/2042#005317                                               | CUSIP: 36202F4A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59049 | PA      | $61143.43      | 0.00%             | 2042-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 03/20/2042#005330                                               | CUSIP: 36202F4P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6526 | PA      | $6062.01       | 0.00%             | 2042-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 3/42 #005332                                                   | CUSIP: 36202F4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     259370 | PA      | $252602.04     | 0.01%             | 2042-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 8/39 #004518                                                   | CUSIP: 36202FAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56004 | PA      | $54796.50      | 0.00%             | 2039-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.50% 8/39 #004521                                                   | CUSIP: 36202FAW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7542 | PA      | $7811.23       | 0.00%             | 2039-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 10/39 #004557                                                  | CUSIP: 36202FB21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19438 | PA      | $19014.98      | 0.00%             | 2039-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.50% 10/39 #004560                                                  | CUSIP: 36202FB54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85155 | PA      | $88200.35      | 0.01%             | 2039-10-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 9/39 #004539                                                   | CUSIP: 36202FBG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23289 | PA      | $22772.02      | 0.00%             | 2039-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.50% 9/39 #004542                                                   | CUSIP: 36202FBK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43182 | PA      | $44729.63      | 0.00%             | 2039-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 11/39 #004576                                                  | CUSIP: 36202FCM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     163554 | PA      | $159888.16     | 0.01%             | 2039-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.50% 11/39 #004579                                                  | CUSIP: 36202FCQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55286 | PA      | $57262.99      | 0.00%             | 2039-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 12/39 #004597                                                  | CUSIP: 36202FDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     202961 | PA      | $198487.00     | 0.01%             | 2039-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.50% 12/39 #004600                                                  | CUSIP: 36202FDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38364 | PA      | $39732.92      | 0.00%             | 2039-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 1/40 #004616                                                   | CUSIP: 36202FDV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77130 | PA      | $75357.94      | 0.00%             | 2040-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 3/40 #004656                                                   | CUSIP: 36202FE51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     382064 | PA      | $373276.55     | 0.02%             | 2040-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.50% 3/40 #004659                                                   | CUSIP: 36202FE85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     383613 | PA      | $397383.98     | 0.02%             | 2040-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 2/40 #004635                                                   | CUSIP: 36202FEG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     486860 | PA      | $475836.96     | 0.03%             | 2040-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 4/40 #004670                                                   | CUSIP: 36202FFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15324 | PA      | $14655.78      | 0.00%             | 2040-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 4/40 #004677                                                   | CUSIP: 36202FFS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22142 | PA      | $21647.23      | 0.00%             | 2040-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 5/40 #004695                                                   | CUSIP: 36202FGC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     224930 | PA      | $219900.03     | 0.01%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 6/40 #004712                                                   | CUSIP: 36202FGV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     172848 | PA      | $168869.73     | 0.01%             | 2040-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 7/40 #004745                                                   | CUSIP: 36202FHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     914395 | PA      | $892780.73     | 0.05%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 9/40 #004800                                                   | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3118137 | PA      | $3044007.29    | 0.18%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 10/40 #004833                                                  | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1289397 | PA      | $1258798.89    | 0.07%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.50% 12/40 #004881                                                  | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4409 | PA      | $4207.54       | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.50% 11/40 #004854                                                  | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1362483 | PA      | $1364493.54    | 0.08%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 1/41#004921                                                     | CUSIP: 36202FPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2365 | PA      | $2256.81       | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 1/41 #004922                                                   | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3914577 | PA      | $3820699.88    | 0.22%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 6/41 #005081                                                   | CUSIP: 36202FUE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     196452 | PA      | $191570.84     | 0.01%             | 2041-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 8/41 #005139                                                   | CUSIP: 36202FV86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2376 | PA      | $2316.18       | 0.00%             | 2041-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.50% 8/41 #005140                                                   | CUSIP: 36202FV94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97207 | PA      | $97309.67      | 0.01%             | 2041-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.50% 10/41 #005202                                                  | CUSIP: 36202FX76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20165 | PA      | $19188.21      | 0.00%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 10/41 #005203                                                  | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3235731 | PA      | $3153725.06    | 0.18%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.50% 10/41 #005204                                                  | CUSIP: 36202FX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82820 | PA      | $82903.02      | 0.00%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.50% 9/41 #005175                                                   | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18103 | PA      | $18122.48      | 0.00%             | 2041-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.50% 11/41 #005232                                                  | CUSIP: 36202FY59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     155384 | PA      | $147876.93     | 0.01%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 12/41#005264                                                    | CUSIP: 36202FZ58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40009 | PA      | $41403.58      | 0.00%             | 2041-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 12/20/2041#005258                                               | CUSIP: 36202FZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1710524 | PA      | $1627900.66    | 0.09%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 4/33 #608147                                                      | CUSIP: 36202STC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7709 | PA      | $7836.57       | 0.00%             | 2033-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 4/34 #608589                                                      | CUSIP: 36202TC20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19913 | PA      | $20450.23      | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 3/34 #608568                                                      | CUSIP: 36202TCD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     124175 | PA      | $127560.01     | 0.01%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 5/34 #608602                                                      | CUSIP: 36202TDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139006 | PA      | $142718.63     | 0.01%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 7/36 #608987                                                      | CUSIP: 36202TRG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14905 | PA      | $15552.65      | 0.00%             | 2036-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 07/15/2033#609443                                             | CUSIP: 36202UBL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        336 | PA      | $342.37        | 0.00%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 4/33 #611489                                                      | CUSIP: 36202WKA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10350 | PA      | $10523.30      | 0.00%             | 2033-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/26 #345613                                                      | CUSIP: 36203C3W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $4.50          | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 7/27 #353746                                                      | CUSIP: 36203M5F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        778 | PA      | $786.24        | 0.00%             | 2027-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/27 #353761                                                      | CUSIP: 36203M5W6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        168 | PA      | $170.98        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/27 #353763                                                      | CUSIP: 36203M5Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2279 | PA      | $2304.46       | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/27 #353853                                                      | CUSIP: 36203NBW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         12 | PA      | $11.87         | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/27 #353908                                                     | CUSIP: 36203NDM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1240 | PA      | $1259.12       | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #366970                                                      | CUSIP: 36204DT33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     101745 | PA      | $99464.16      | 0.01%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/27 #372461                                                     | CUSIP: 36204KWW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6848 | PA      | $6935.35       | 0.00%             | 2027-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #372475                                                      | CUSIP: 36204KXC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         92 | PA      | $93.47         | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/26 #377243                                                      | CUSIP: 36204RBL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         74 | PA      | $73.77         | 0.00%             | 2026-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #396405                                                      | CUSIP: 36205PKS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1447 | PA      | $1463.62       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/26 #398477                                                      | CUSIP: 36205RUA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $5.18          | 0.00%             | 2026-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 6/29 #399061                                                      | CUSIP: 36205SJE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1862 | PA      | $1925.22       | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #404537                                                      | CUSIP: 36205YLS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5468 | PA      | $5562.50       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/27 #407802                                                      | CUSIP: 36206DAB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         39 | PA      | $39.19         | 0.00%             | 2027-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 4/26 #407840                                                      | CUSIP: 36206DBH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         33 | PA      | $32.77         | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 3/26 #407972                                                      | CUSIP: 36206DFM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         84 | PA      | $83.53         | 0.00%             | 2026-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 7.395% 9/26 #409193                                                  | CUSIP: 36206ERN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3205 | PA      | $3213.70       | 0.00%             | 2026-09-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 7.395% 12/26 #409195                                                 | CUSIP: 36206ERQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7113 | PA      | $7145.68       | 0.00%             | 2026-12-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 11/15/2042#409373                                             | CUSIP: 36206EXA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24715 | PA      | $22703.01      | 0.00%             | 2042-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #410454                                                      | CUSIP: 36206F5P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1446 | PA      | $1467.88       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/27 #412317                                                      | CUSIP: 36206JAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2086 | PA      | $2113.24       | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/27 #412318                                                      | CUSIP: 36206JAT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1129 | PA      | $1143.82       | 0.00%             | 2027-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/27 #412362                                                     | CUSIP: 36206JB78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3706 | PA      | $3759.28       | 0.00%             | 2027-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/26 #412645                                                      | CUSIP: 36206JL28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         80 | PA      | $79.68         | 0.00%             | 2026-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/26 #412637                                                      | CUSIP: 36206JLS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         86 | PA      | $85.66         | 0.00%             | 2026-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/26 #412669                                                      | CUSIP: 36206JMS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        330 | PA      | $331.18        | 0.00%             | 2026-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 4/26 #416192                                                      | CUSIP: 36206NKD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         40 | PA      | $39.92         | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/26 #416409                                                      | CUSIP: 36206NR64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1474 | PA      | $1477.80       | 0.00%             | 2026-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 7/26 #416401                                                      | CUSIP: 36206NRW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         58 | PA      | $58.00         | 0.00%             | 2026-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 11/28 #416628                                                     | CUSIP: 36206NYZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8286 | PA      | $8569.28       | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/26 #417389                                                      | CUSIP: 36206PUN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $5.40          | 0.00%             | 2026-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/27 #418872                                                      | CUSIP: 36206RJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        154 | PA      | $154.64        | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/26 #421710                                                      | CUSIP: 36206UN39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         48 | PA      | $48.36         | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/26 #421729                                                      | CUSIP: 36206UPN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $2.37          | 0.00%             | 2026-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 4/26 #421987                                                      | CUSIP: 36206UXQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         50 | PA      | $49.99         | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 7/27 #423079                                                      | CUSIP: 36206V6Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        811 | PA      | $817.89        | 0.00%             | 2027-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/26 #423906                                                      | CUSIP: 36206W3P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        172 | PA      | $172.71        | 0.00%             | 2026-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/26 #423911                                                      | CUSIP: 36206W3U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         23 | PA      | $23.39         | 0.00%             | 2026-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/26 #423986                                                      | CUSIP: 36206W6X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $2.76          | 0.00%             | 2026-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 6/26 #423825                                                      | CUSIP: 36206WYW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $2.74          | 0.00%             | 2026-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 6/26 #423863                                                      | CUSIP: 36206WZ40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        450 | PA      | $449.81        | 0.00%             | 2026-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/26 #424026                                                      | CUSIP: 36206XA37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         56 | PA      | $55.68         | 0.00%             | 2026-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/31 #424092                                                      | CUSIP: 36206XC50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        295 | PA      | $304.94        | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/26 #424207                                                      | CUSIP: 36206XGQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        131 | PA      | $130.64        | 0.00%             | 2026-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/26 #424241                                                      | CUSIP: 36206XHS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        118 | PA      | $117.80        | 0.00%             | 2026-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #426700                                                      | CUSIP: 36207A7M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1301 | PA      | $1323.25       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #425825                                                      | CUSIP: 36207AA28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        524 | PA      | $529.76        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/26 #425990                                                      | CUSIP: 36207AF72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         15 | PA      | $14.66         | 0.00%             | 2026-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/26 #426165                                                      | CUSIP: 36207AMN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         80 | PA      | $80.16         | 0.00%             | 2026-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 12/27 #426350                                                     | CUSIP: 36207ATF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        215 | PA      | $216.35        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/27 #426517                                                     | CUSIP: 36207AYN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7170 | PA      | $7284.46       | 0.00%             | 2027-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/28 #426720                                                     | CUSIP: 36207BAV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        732 | PA      | $747.13        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/27 #427749                                                     | CUSIP: 36207CEW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        170 | PA      | $172.77        | 0.00%             | 2027-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 4/26 #429424                                                      | CUSIP: 36207EAZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        373 | PA      | $372.61        | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 4/26 #429471                                                      | CUSIP: 36207ECG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         14 | PA      | $13.87         | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 12/33 #429786                                                     | CUSIP: 36207ENB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15577 | PA      | $16191.20      | 0.00%             | 2033-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 8/26 #431137                                                      | CUSIP: 36207F4W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        468 | PA      | $469.14        | 0.00%             | 2026-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 2/28 #430591                                                      | CUSIP: 36207FKC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        826 | PA      | $853.76        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 4/26 #430660                                                      | CUSIP: 36207FMH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        123 | PA      | $122.78        | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/26 #431235                                                      | CUSIP: 36207GBC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        263 | PA      | $263.35        | 0.00%             | 2026-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/26 #431510                                                     | CUSIP: 36207GKX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        157 | PA      | $157.85        | 0.00%             | 2026-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/26 #431679                                                     | CUSIP: 36207GQ85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        703 | PA      | $707.35        | 0.00%             | 2026-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 6/26 #432701                                                      | CUSIP: 36207HU21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         15 | PA      | $14.75         | 0.00%             | 2026-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/26 #432756                                                      | CUSIP: 36207HWR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         50 | PA      | $49.64         | 0.00%             | 2026-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #433774                                                      | CUSIP: 36207J2F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1473 | PA      | $1490.31       | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #433849                                                      | CUSIP: 36207J5J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        432 | PA      | $437.33        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #433858                                                      | CUSIP: 36207J5T6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        251 | PA      | $253.90        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #433882                                                      | CUSIP: 36207J6T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1076 | PA      | $1092.52       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #433883                                                      | CUSIP: 36207J6U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2880 | PA      | $2921.58       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/26 #433299                                                     | CUSIP: 36207JKL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         57 | PA      | $56.91         | 0.00%             | 2026-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/26 #433389                                                     | CUSIP: 36207JNE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        667 | PA      | $669.66        | 0.00%             | 2026-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #433571                                                      | CUSIP: 36207JT45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        355 | PA      | $357.89        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #433566                                                      | CUSIP: 36207JTX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        153 | PA      | $155.04        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #433577                                                      | CUSIP: 36207JUA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        939 | PA      | $950.60        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #433627                                                      | CUSIP: 36207JVU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         40 | PA      | $40.26         | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #433685                                                      | CUSIP: 36207JXN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        787 | PA      | $799.36        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #433726                                                      | CUSIP: 36207JYX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        897 | PA      | $909.79        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #433752                                                      | CUSIP: 36207JZR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        417 | PA      | $423.42        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #433961                                                      | CUSIP: 36207KB66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1153 | PA      | $1170.57       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/28 #433970                                                      | CUSIP: 36207KCF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        237 | PA      | $240.34        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/28 #433980                                                      | CUSIP: 36207KCR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        350 | PA      | $356.01        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/28 #434014                                                     | CUSIP: 36207KDT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        254 | PA      | $258.92        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/28 #434110                                                     | CUSIP: 36207KGT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        509 | PA      | $518.81        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/29 #434414                                                      | CUSIP: 36207KSB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1005 | PA      | $1023.76       | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #434543                                                      | CUSIP: 36207KWC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2207 | PA      | $2279.75       | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/29 #434587                                                     | CUSIP: 36207KXQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27760 | PA      | $28731.92      | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 1/30 #434655                                                      | CUSIP: 36207KZU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         45 | PA      | $45.56         | 0.00%             | 2030-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/30 #434983                                                     | CUSIP: 36207LFY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9084 | PA      | $9485.65       | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/31 #435050                                                      | CUSIP: 36207LH35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        298 | PA      | $306.01        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/26 #436523                                                     | CUSIP: 36207M4G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         54 | PA      | $53.72         | 0.00%             | 2026-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #436067                                                      | CUSIP: 36207MMQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1048 | PA      | $1055.72       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #436199                                                      | CUSIP: 36207MRU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        314 | PA      | $317.50        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #436261                                                      | CUSIP: 36207MTS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1035 | PA      | $1043.36       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #436262                                                      | CUSIP: 36207MTT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        225 | PA      | $227.44        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #436264                                                      | CUSIP: 36207MTV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1210 | PA      | $1227.08       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/26 #436719                                                     | CUSIP: 36207NDY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        526 | PA      | $527.90        | 0.00%             | 2026-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 1/27 #436741                                                      | CUSIP: 36207NEN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1244 | PA      | $1255.04       | 0.00%             | 2027-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 7/27 #436800                                                      | CUSIP: 36207NGH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        104 | PA      | $104.50        | 0.00%             | 2027-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/26 #437536                                                      | CUSIP: 36207PBD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         78 | PA      | $77.93         | 0.00%             | 2026-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #438420                                                      | CUSIP: 36207QAV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3253 | PA      | $3297.53       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 2/42 #438588                                                      | CUSIP: 36207QF51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56588 | PA      | $54923.00      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/26 #438999                                                      | CUSIP: 36207QUY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $3.41          | 0.00%             | 2026-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/26 #439430                                                     | CUSIP: 36207REB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         21 | PA      | $21.54         | 0.00%             | 2026-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/26 #439445                                                     | CUSIP: 36207RES0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         65 | PA      | $64.92         | 0.00%             | 2026-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 6/27 #439588                                                      | CUSIP: 36207RJ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1842 | PA      | $1865.59       | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/27 #439558                                                      | CUSIP: 36207RJB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        591 | PA      | $597.18        | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 6/27 #439565                                                      | CUSIP: 36207RJJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        862 | PA      | $871.31        | 0.00%             | 2027-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/27 #439599                                                      | CUSIP: 36207RKL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3233 | PA      | $3271.22       | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/27 #440274                                                      | CUSIP: 36207SCK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        281 | PA      | $282.04        | 0.00%             | 2027-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/26 #442079                                                     | CUSIP: 36207UCQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         76 | PA      | $76.57         | 0.00%             | 2026-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/26 #442194                                                     | CUSIP: 36207UGB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         21 | PA      | $21.43         | 0.00%             | 2026-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #442334                                                      | CUSIP: 36207ULP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        163 | PA      | $164.18        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #442336                                                      | CUSIP: 36207ULR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        535 | PA      | $542.18        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #442456                                                      | CUSIP: 36207UQH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        498 | PA      | $505.56        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #443694                                                      | CUSIP: 36207V3B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        297 | PA      | $301.61        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #443541                                                      | CUSIP: 36207VWA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1676 | PA      | $1698.00       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #443658                                                      | CUSIP: 36207VZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        913 | PA      | $923.28        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #444620                                                      | CUSIP: 36207W4D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         25 | PA      | $25.73         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 7.395% 2/27 #444343                                                  | CUSIP: 36207WS88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2641 | PA      | $2655.57       | 0.00%             | 2027-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #445791                                                      | CUSIP: 36207YF88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2448 | PA      | $2483.87       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #445941                                                      | CUSIP: 36207YLW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6637 | PA      | $6751.35       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/28 #446761                                                     | CUSIP: 36208CJE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3286 | PA      | $3350.80       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/27 #446822                                                      | CUSIP: 36208CLB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2351 | PA      | $2374.65       | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 7/27 #446872                                                      | CUSIP: 36208CMV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        983 | PA      | $993.28        | 0.00%             | 2027-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/27 #447109                                                      | CUSIP: 36208CVA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        882 | PA      | $882.28        | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 4/27 #447529                                                      | CUSIP: 36208DEA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        756 | PA      | $763.94        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #447622                                                      | CUSIP: 36208DG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        752 | PA      | $765.79        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/27 #447901                                                     | CUSIP: 36208DRW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5862 | PA      | $5925.43       | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #447984                                                      | CUSIP: 36208DUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        413 | PA      | $419.55        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #447986                                                      | CUSIP: 36208DUK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        871 | PA      | $882.91        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/27 #449087                                                     | CUSIP: 36208E2U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        175 | PA      | $176.29        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/27 #449180                                                     | CUSIP: 36208E6R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        420 | PA      | $425.66        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/27 #449190                                                     | CUSIP: 36208E7B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         44 | PA      | $44.65         | 0.00%             | 2027-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/31 #448352                                                      | CUSIP: 36208EBV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1930 | PA      | $1992.99       | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 12/27 #448879                                                     | CUSIP: 36208EUC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        533 | PA      | $537.27        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 6/28 #448928                                                      | CUSIP: 36208EVV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        571 | PA      | $582.84        | 0.00%             | 2028-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/27 #448969                                                      | CUSIP: 36208EW66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        517 | PA      | $517.86        | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 6/28 #449003                                                      | CUSIP: 36208EX81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         80 | PA      | $81.83         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #449039                                                      | CUSIP: 36208EZC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        130 | PA      | $131.87        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/27 #449474                                                      | CUSIP: 36208FJT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2523 | PA      | $2565.76       | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #449506                                                      | CUSIP: 36208FKT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        593 | PA      | $600.86        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #449544                                                      | CUSIP: 36208FLZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        171 | PA      | $172.69        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/27 #449748                                                     | CUSIP: 36208FTD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6556 | PA      | $6649.55       | 0.00%             | 2027-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #450349                                                      | CUSIP: 36208GH27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        468 | PA      | $476.05        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #450325                                                      | CUSIP: 36208GHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        694 | PA      | $704.94        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/27 #451321                                                      | CUSIP: 36208HLA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        102 | PA      | $102.47        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 7/27 #451326                                                      | CUSIP: 36208HLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2580 | PA      | $2608.31       | 0.00%             | 2027-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/27 #451459                                                      | CUSIP: 36208HQL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          6 | PA      | $6.22          | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/27 #451524                                                     | CUSIP: 36208HSM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        151 | PA      | $150.94        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #451704                                                      | CUSIP: 36208HX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        219 | PA      | $219.17        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 6/27 #452145                                                      | CUSIP: 36208JHW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1367 | PA      | $1382.12       | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.25% 9/27 #453325                                                      | CUSIP: 36208KSN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1565 | PA      | $1580.30       | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/27 #453374                                                     | CUSIP: 36208KT74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1302 | PA      | $1320.92       | 0.00%             | 2027-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/28 #454480                                                     | CUSIP: 36208L2M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        270 | PA      | $271.88        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #454571                                                      | CUSIP: 36208L6G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1062 | PA      | $1079.21       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/27 #453705                                                     | CUSIP: 36208LAE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        889 | PA      | $895.73        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/27 #453857                                                     | CUSIP: 36208LE60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1773 | PA      | $1798.42       | 0.00%             | 2027-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #454375                                                      | CUSIP: 36208LXC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        616 | PA      | $620.49        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 8/27 #455436                                                      | CUSIP: 36208M4V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        392 | PA      | $405.18        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/27 #455456                                                      | CUSIP: 36208M5R2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        193 | PA      | $194.30        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #454627                                                      | CUSIP: 36208MA47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        305 | PA      | $307.65        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 1/28 #454951                                                      | CUSIP: 36208ML86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3211 | PA      | $3233.59       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/27 #455273                                                      | CUSIP: 36208MXA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4176 | PA      | $4234.30       | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/27 #455319                                                     | CUSIP: 36208MYQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        513 | PA      | $518.19        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/27 #455361                                                     | CUSIP: 36208MZ24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         73 | PA      | $74.03         | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #456341                                                      | CUSIP: 36208N5A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7504 | PA      | $7612.81       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 9/27 #455529                                                      | CUSIP: 36208NA60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        586 | PA      | $605.60        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.25% 9/27 #455538                                                      | CUSIP: 36208NBF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4208 | PA      | $4230.07       | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #456239                                                      | CUSIP: 36208NZC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1173 | PA      | $1188.07       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #456806                                                      | CUSIP: 36208PNX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        941 | PA      | $956.29        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #456968                                                      | CUSIP: 36208PTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        796 | PA      | $807.24        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 9/28 #457089                                                      | CUSIP: 36208PXS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1101 | PA      | $1138.91       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/28 #457114                                                     | CUSIP: 36208PYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1656 | PA      | $1712.18       | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/29 #457155                                                      | CUSIP: 36208PZU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3939 | PA      | $4032.94       | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/27 #457532                                                     | CUSIP: 36208QHH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        318 | PA      | $318.02        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 12/27 #457566                                                     | CUSIP: 36208QJK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2140 | PA      | $2163.67       | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #457682                                                      | CUSIP: 36208QM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        626 | PA      | $634.55        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 8/28 #457694                                                      | CUSIP: 36208QNK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        189 | PA      | $189.47        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #457741                                                      | CUSIP: 36208QP26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        769 | PA      | $780.04        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #457723                                                      | CUSIP: 36208QPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        604 | PA      | $610.29        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/28 #457812                                                      | CUSIP: 36208QR99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        995 | PA      | $1003.86       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 9/28 #457818                                                      | CUSIP: 36208QSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        268 | PA      | $277.16        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/27 #458343                                                     | CUSIP: 36208REQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        305 | PA      | $305.97        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #458374                                                      | CUSIP: 36208RFP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        420 | PA      | $422.03        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #458641                                                      | CUSIP: 36208RP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2234 | PA      | $2264.49       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/27 #458709                                                     | CUSIP: 36208RR63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        344 | PA      | $348.22        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/27 #458718                                                     | CUSIP: 36208RSF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        392 | PA      | $396.16        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #458836                                                      | CUSIP: 36208RV50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        199 | PA      | $201.95        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #458865                                                      | CUSIP: 36208RW26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        306 | PA      | $310.71        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #458877                                                      | CUSIP: 36208RXE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        613 | PA      | $622.94        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 4/28 #458878                                                      | CUSIP: 36208RXF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         72 | PA      | $72.92         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #458917                                                      | CUSIP: 36208RYN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        151 | PA      | $153.21        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/28 #458926                                                      | CUSIP: 36208RYX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2681 | PA      | $2731.98       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 11/28 #458939                                                     | CUSIP: 36208RZC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2241 | PA      | $2317.53       | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/29 #459211                                                      | CUSIP: 36208SDQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        193 | PA      | $197.73        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/27 #459474                                                     | CUSIP: 36208SMX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1050 | PA      | $1057.90       | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #460784                                                      | CUSIP: 36208T2R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        181 | PA      | $183.35        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/27 #460640                                                     | CUSIP: 36208TV98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5376 | PA      | $5559.02       | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #460676                                                      | CUSIP: 36208TXD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2514 | PA      | $2550.59       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 1/28 #460678                                                      | CUSIP: 36208TXF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1709 | PA      | $1733.69       | 0.00%             | 2028-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 1/28 #460689                                                      | CUSIP: 36208TXS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1734 | PA      | $1745.42       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/28 #460911                                                      | CUSIP: 36208UAL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4067 | PA      | $4172.29       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/27 #460995                                                     | CUSIP: 36208UC88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28 | PA      | $28.16         | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/27 #460982                                                     | CUSIP: 36208UCT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        799 | PA      | $809.00        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/27 #460983                                                     | CUSIP: 36208UCU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        161 | PA      | $163.73        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/27 #461148                                                     | CUSIP: 36208UHZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        519 | PA      | $525.21        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/27 #461177                                                     | CUSIP: 36208UJW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        432 | PA      | $437.41        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 1/28 #461211                                                      | CUSIP: 36208UKY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1244 | PA      | $1263.31       | 0.00%             | 2028-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 1/28 #461632                                                      | CUSIP: 36208UY50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1923 | PA      | $1960.57       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 3/28 #462615                                                      | CUSIP: 36208V3Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2025 | PA      | $2094.52       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #462680                                                      | CUSIP: 36208V6R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        372 | PA      | $376.44        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #462199                                                      | CUSIP: 36208VNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1164 | PA      | $1181.36       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #462218                                                      | CUSIP: 36208VPB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3775 | PA      | $3835.07       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/27 #462442                                                     | CUSIP: 36208VWB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1423 | PA      | $1438.39       | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #462559                                                      | CUSIP: 36208VZY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4879 | PA      | $4925.05       | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #462816                                                      | CUSIP: 36208WDV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        297 | PA      | $301.99        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #462927                                                      | CUSIP: 36208WHC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1777 | PA      | $1804.15       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/27 #463299                                                     | CUSIP: 36208WUY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8846 | PA      | $9147.65       | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #463389                                                      | CUSIP: 36208WXS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        143 | PA      | $144.18        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #463965                                                      | CUSIP: 36208XMN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        385 | PA      | $390.89        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #464052                                                      | CUSIP: 36208XQD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         51 | PA      | $51.15         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #465292                                                      | CUSIP: 36208Y2Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        135 | PA      | $136.15        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #465314                                                      | CUSIP: 36208Y3X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        704 | PA      | $713.53        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 7/28 #464704                                                      | CUSIP: 36208YGM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        287 | PA      | $293.07        | 0.00%             | 2028-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #464759                                                      | CUSIP: 36208YJC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        496 | PA      | $501.94        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #464765                                                      | CUSIP: 36208YJJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        689 | PA      | $700.50        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/28 #464767                                                      | CUSIP: 36208YJL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        207 | PA      | $212.38        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #464920                                                      | CUSIP: 36208YPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1193 | PA      | $1208.36       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #464933                                                      | CUSIP: 36208YPS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2530 | PA      | $2554.06       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #465091                                                      | CUSIP: 36208YUQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1380 | PA      | $1403.40       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 7/30 #466263                                                   | CUSIP: 36209A5Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32316 | PA      | $32741.68      | 0.00%             | 2030-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #465506                                                      | CUSIP: 36209ADK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        576 | PA      | $578.26        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #465908                                                      | CUSIP: 36209AR51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        352 | PA      | $356.14        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #465899                                                      | CUSIP: 36209ARU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        485 | PA      | $491.57        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #465904                                                      | CUSIP: 36209ARZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         41 | PA      | $41.85         | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #465920                                                      | CUSIP: 36209ASH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1739 | PA      | $1757.73       | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 2/28 #465952                                                      | CUSIP: 36209ATH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        306 | PA      | $309.58        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #466318                                                      | CUSIP: 36209BAT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        548 | PA      | $555.22        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #468074                                                      | CUSIP: 36209C6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1321 | PA      | $1340.87       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #467670                                                      | CUSIP: 36209CQX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1819 | PA      | $1844.01       | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #467775                                                      | CUSIP: 36209CT89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        603 | PA      | $609.76        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #467764                                                      | CUSIP: 36209CTV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        236 | PA      | $239.02        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #467822                                                      | CUSIP: 36209CVP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         48 | PA      | $48.68         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #467828                                                      | CUSIP: 36209CVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2301 | PA      | $2343.21       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 8/28 #468960                                                      | CUSIP: 36209D5V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2350 | PA      | $2429.87       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/28 #469788                                                     | CUSIP: 36209E2V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         69 | PA      | $71.02         | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 7/30 #469233                                                   | CUSIP: 36209EHJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83307 | PA      | $84427.59      | 0.00%             | 2030-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/28 #469624                                                     | CUSIP: 36209EVR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8162 | PA      | $8317.47       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/28 #469629                                                     | CUSIP: 36209EVW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        126 | PA      | $128.55        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 10/28 #469647                                                     | CUSIP: 36209EWG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1751 | PA      | $1811.08       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/28 #469699                                                     | CUSIP: 36209EX49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         59 | PA      | $60.48         | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/28 #469713                                                     | CUSIP: 36209EYJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1696 | PA      | $1707.70       | 0.00%             | 2028-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #470796                                                      | CUSIP: 36209F7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        667 | PA      | $688.66        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #470799                                                      | CUSIP: 36209F7L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        192 | PA      | $198.82        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 4/29 #470239                                                      | CUSIP: 36209FLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1015 | PA      | $1050.14       | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #471569                                                      | CUSIP: 36209G2A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        293 | PA      | $296.25        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/28 #471627                                                     | CUSIP: 36209G4L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        121 | PA      | $125.60        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #471698                                                      | CUSIP: 36209G7K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        429 | PA      | $430.46        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/32 #471314                                                      | CUSIP: 36209GSB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        927 | PA      | $959.48        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/32 #471328                                                      | CUSIP: 36209GSR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13473 | PA      | $13983.56      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #471849                                                      | CUSIP: 36209HEW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        571 | PA      | $578.20        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #471918                                                      | CUSIP: 36209HG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4212 | PA      | $4282.12       | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #471977                                                      | CUSIP: 36209HJW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3779 | PA      | $3846.81       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #471992                                                      | CUSIP: 36209HKD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        875 | PA      | $890.74        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #472039                                                      | CUSIP: 36209HLU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        915 | PA      | $931.01        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 3/30 #472153                                                      | CUSIP: 36209HQE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        686 | PA      | $707.51        | 0.00%             | 2030-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #472284                                                      | CUSIP: 36209HUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1772 | PA      | $1801.48       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #473482                                                      | CUSIP: 36209J6T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        131 | PA      | $131.12        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #472620                                                      | CUSIP: 36209JAV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1027 | PA      | $1044.41       | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #473514                                                      | CUSIP: 36209KAP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2854 | PA      | $2895.08       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #473591                                                      | CUSIP: 36209KC48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1143 | PA      | $1145.79       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #475200                                                      | CUSIP: 36209L3H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        750 | PA      | $761.49        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 5/28 #474632                                                      | CUSIP: 36209LHH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1744 | PA      | $1803.62       | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/28 #474677                                                     | CUSIP: 36209LJW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1658 | PA      | $1690.05       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/31 #474776                                                      | CUSIP: 36209LMZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        446 | PA      | $460.36        | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/28 #474811                                                     | CUSIP: 36209LN44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        523 | PA      | $527.10        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #474791                                                      | CUSIP: 36209LNG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1127 | PA      | $1144.65       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/28 #475554                                                      | CUSIP: 36209MH72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        774 | PA      | $792.90        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #475538                                                      | CUSIP: 36209MHP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        244 | PA      | $246.58        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 9/28 #475562                                                      | CUSIP: 36209MJF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1498 | PA      | $1548.68       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/28 #475563                                                      | CUSIP: 36209MJG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1354 | PA      | $1376.41       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/28 #476246                                                     | CUSIP: 36209NBP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5070 | PA      | $5150.13       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 6/28 #476343                                                      | CUSIP: 36209NEQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1520 | PA      | $1572.09       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #476377                                                      | CUSIP: 36209NFS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        191 | PA      | $192.18        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #476857                                                      | CUSIP: 36209NWS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        903 | PA      | $905.98        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #476873                                                      | CUSIP: 36209NXA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        699 | PA      | $712.36        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/28 #477485                                                     | CUSIP: 36209PNA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        725 | PA      | $733.87        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/28 #477488                                                     | CUSIP: 36209PND5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1308 | PA      | $1327.64       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 11/28 #477544                                                     | CUSIP: 36209PP50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18543 | PA      | $19176.11      | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/29 #478887                                                     | CUSIP: 36209Q6Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1871 | PA      | $1920.12       | 0.00%             | 2029-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 10/15/2041#479683                                             | CUSIP: 36209R2Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139203 | PA      | $135359.28     | 0.01%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 5/30 #479341                                                      | CUSIP: 36209RP23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1133 | PA      | $1170.13       | 0.00%             | 2030-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #479430                                                     | CUSIP: 36209RST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     491409 | PA      | $477522.38     | 0.03%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #479494                                                     | CUSIP: 36209RUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2600550 | PA      | $2524039.85    | 0.15%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #479596                                                     | CUSIP: 36209RXZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9346 | PA      | $9060.66       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #479607                                                     | CUSIP: 36209RYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     182195 | PA      | $177164.00     | 0.01%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/28 #480016                                                     | CUSIP: 36209SGZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        978 | PA      | $995.80        | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #480055                                                      | CUSIP: 36209SH87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        173 | PA      | $173.02        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #480369                                                      | CUSIP: 36209ST27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        107 | PA      | $107.28        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #480352                                                      | CUSIP: 36209STH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        941 | PA      | $958.18        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #480386                                                      | CUSIP: 36209SUK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1806 | PA      | $1835.96       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #480414                                                      | CUSIP: 36209SVF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4015 | PA      | $4084.30       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #480424                                                      | CUSIP: 36209SVR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        381 | PA      | $388.34        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #480455                                                      | CUSIP: 36209SWQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        169 | PA      | $170.59        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/28 #480488                                                      | CUSIP: 36209SXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11873 | PA      | $12138.92      | 0.00%             | 2028-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/28 #481486                                                      | CUSIP: 36209T2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1146 | PA      | $1175.32       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 10/28 #481578                                                     | CUSIP: 36209T6P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3949 | PA      | $4083.47       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #480972                                                      | CUSIP: 36209TJR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4341 | PA      | $4400.44       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/28 #481350                                                      | CUSIP: 36209TWK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        666 | PA      | $675.71        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/29 #482373                                                      | CUSIP: 36209U2E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2036 | PA      | $2087.93       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #481803                                                      | CUSIP: 36209UGL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1775 | PA      | $1786.83       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #482056                                                      | CUSIP: 36209UQH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        242 | PA      | $245.61        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #482668                                                      | CUSIP: 36209VFH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        961 | PA      | $972.87        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/28 #483175                                                      | CUSIP: 36209VXC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2511 | PA      | $2572.31       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #484211                                                      | CUSIP: 36209W3U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        928 | PA      | $942.38        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/28 #484269                                                      | CUSIP: 36209W6E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        824 | PA      | $832.58        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/28 #483793                                                     | CUSIP: 36209WNJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10536 | PA      | $10826.62      | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/28 #483831                                                     | CUSIP: 36209WPQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1425 | PA      | $1434.30       | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/28 #483920                                                     | CUSIP: 36209WSH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        274 | PA      | $274.52        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/28 #484938                                                     | CUSIP: 36209XV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        721 | PA      | $723.83        | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/30 #486031                                                     | CUSIP: 36209Y4Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        837 | PA      | $863.42        | 0.00%             | 2030-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #485211                                                      | CUSIP: 36209YAL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        189 | PA      | $193.14        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 5/39 #717148                                                      | CUSIP: 3620A2WH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     198811 | PA      | $199429.90     | 0.01%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 5/39 #717153                                                      | CUSIP: 3620A2WN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     777994 | PA      | $780302.96     | 0.05%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/39 #717181                                                      | CUSIP: 3620A2XJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102314 | PA      | $102582.13     | 0.01%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/39 #717233                                                      | CUSIP: 3620A2Y67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32493 | PA      | $32585.85      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 11/39 #718029                                                     | CUSIP: 3620A3VW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4337 | PA      | $4344.90       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/40 #718157                                                      | CUSIP: 3620A3ZW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5119 | PA      | $5137.33       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/39 #720065                                                      | CUSIP: 3620A56A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     255922 | PA      | $256681.22     | 0.01%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/39 #720077                                                      | CUSIP: 3620A56N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8487 | PA      | $8511.36       | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/41 #719502                                                      | CUSIP: 3620A5KP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     175274 | PA      | $175705.31     | 0.01%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 9/39 #719673                                                      | CUSIP: 3620A5Q28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84457 | PA      | $84664.68      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/39 #720106                                                      | CUSIP: 3620A6AF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19978 | PA      | $20060.91      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/39 #721062                                                     | CUSIP: 3620A7B79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     168587 | PA      | $169062.47     | 0.01%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/39 #721063                                                     | CUSIP: 3620A7B87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97808 | PA      | $98176.25      | 0.01%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/39 #721064                                                     | CUSIP: 3620A7B95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     152456 | PA      | $153098.77     | 0.01%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.87% 9/39 #721172                                                      | CUSIP: 3620A7FM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     856354 | PA      | $867505.75     | 0.05%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.87% 9/39 #721173                                                      | CUSIP: 3620A7FN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     597120 | PA      | $604771.33     | 0.04%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.87% 9/39 #721174                                                      | CUSIP: 3620A7FP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     611074 | PA      | $619001.29     | 0.04%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 07/15/2043#722007                                             | CUSIP: 3620A8DL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     446187 | PA      | $431137.86     | 0.02%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/39 #722095                                                     | CUSIP: 3620A8GC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     580464 | PA      | $581923.34     | 0.03%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/39 #722096                                                     | CUSIP: 3620A8GD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     768734 | PA      | $770667.31     | 0.04%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 9/39 #723354                                                      | CUSIP: 3620A9TK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8627 | PA      | $8808.14       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 11/39 #723433                                                     | CUSIP: 3620A9V24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11128 | PA      | $11363.08      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 11/39 #723436                                                     | CUSIP: 3620A9V57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11916 | PA      | $12168.03      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 11/39 #723437                                                     | CUSIP: 3620A9V65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18589 | PA      | $18982.04      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/39 #723526                                                     | CUSIP: 3620A9YX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1236363 | PA      | $1239723.75    | 0.07%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 2/40 #723727                                                      | CUSIP: 3620AAA40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     308178 | PA      | $300122.36     | 0.02%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 2/40 #723731                                                      | CUSIP: 3620AAA81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     414481 | PA      | $403645.82     | 0.02%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 1/40 #723715                                                      | CUSIP: 3620AAAQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     146603 | PA      | $142602.60     | 0.01%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/40 #723740                                                      | CUSIP: 3620AABH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     354957 | PA      | $355316.19     | 0.02%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/40 #723745                                                      | CUSIP: 3620AABN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     270354 | PA      | $270765.50     | 0.02%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 8/39 #724217                                                      | CUSIP: 3620AASE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11720 | PA      | $11756.84      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 8/39 #724220                                                      | CUSIP: 3620AASH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     311781 | PA      | $312736.73     | 0.02%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/39 #724690                                                     | CUSIP: 3620ABC38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78098 | PA      | $75979.10      | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/39 #724682                                                     | CUSIP: 3620ABCT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     129316 | PA      | $125893.11     | 0.01%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 11/39 #724688                                                     | CUSIP: 3620ABCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     281995 | PA      | $274345.42     | 0.02%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 2/40 #724707                                                      | CUSIP: 3620ABDL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18744 | PA      | $18285.75      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 10/39 #726380                                                     | CUSIP: 3620AC6R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     181602 | PA      | $182096.03     | 0.01%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 1/40 #725848                                                      | CUSIP: 3620ACL51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     278473 | PA      | $279230.37     | 0.02%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 1/40 #725849                                                      | CUSIP: 3620ACL69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     181591 | PA      | $181972.40     | 0.01%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 1/40 #725850                                                      | CUSIP: 3620ACL77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67214 | PA      | $67344.59      | 0.00%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/40 #726017                                                      | CUSIP: 3620ACSE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39938 | PA      | $40036.02      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/40 #726019                                                      | CUSIP: 3620ACSG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81289 | PA      | $81480.42      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 11/39 #726091                                                     | CUSIP: 3620ACUQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     292835 | PA      | $293616.59     | 0.02%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/39 #726113                                                     | CUSIP: 3620ACVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     300761 | PA      | $301439.61     | 0.02%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/40 #726156                                                      | CUSIP: 3620ACWR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     219602 | PA      | $220285.51     | 0.01%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/40 #727416                                                      | CUSIP: 3620AEDV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     186194 | PA      | $186565.04     | 0.01%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/40 #727849                                                      | CUSIP: 3620AETE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63360 | PA      | $63391.50      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/40 #727850                                                      | CUSIP: 3620AETF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154927 | PA      | $155173.28     | 0.01%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/40 #727855                                                      | CUSIP: 3620AETL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61901 | PA      | $61931.53      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 11/39 #728312                                                     | CUSIP: 3620AFDR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     148721 | PA      | $149140.24     | 0.01%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/39 #728446                                                     | CUSIP: 3620AFHX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     238952 | PA      | $239613.22     | 0.01%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.87% 12/39 #728688                                                     | CUSIP: 3620AFRH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     168139 | PA      | $172191.94     | 0.01%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 11/39 #728792                                                     | CUSIP: 3620AFUR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     161120 | PA      | $161533.80     | 0.01%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 5/40 #729530                                                      | CUSIP: 3620AGPP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80902 | PA      | $81071.54      | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/39 #730155                                                     | CUSIP: 3620AHE41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122451 | PA      | $122856.28     | 0.01%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/39 #730156                                                     | CUSIP: 3620AHE58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90646 | PA      | $90914.55      | 0.01%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 5/40 #731980                                                      | CUSIP: 3620AKFV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20326 | PA      | $20758.07      | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/40 #732281                                                      | CUSIP: 3620AKRA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28182 | PA      | $28248.10      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 3/41 #732892                                                      | CUSIP: 3620ALF90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11965 | PA      | $11969.37      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #732919                                                      | CUSIP: 3620ALG40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103571 | PA      | $100490.14     | 0.01%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 5/40 #733154                                                      | CUSIP: 3620ALQF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44364 | PA      | $44475.91      | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 08/15/2040#733271                                             | CUSIP: 3620ALT46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31693 | PA      | $30890.80      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 9/40 #733315                                                      | CUSIP: 3620ALVG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     272558 | PA      | $273072.58     | 0.02%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/41 #733451                                                      | CUSIP: 3620ALZQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16688 | PA      | $16747.61      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 4/41 #734392                                                      | CUSIP: 3620AM2Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     205098 | PA      | $209455.15     | 0.01%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 6/40 #733726                                                      | CUSIP: 3620AMD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3318448 | PA      | $3388565.02    | 0.20%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 6/40 #733733                                                      | CUSIP: 3620AMEE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2626 | PA      | $2682.01       | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 7/40 #733784                                                      | CUSIP: 3620AMFZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1150367 | PA      | $1174819.55    | 0.07%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 3/42 #733805                                                      | CUSIP: 3620AMGN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3670542 | PA      | $3479052.93    | 0.20%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 3/42 #733812                                                      | CUSIP: 3620AMGV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1360807 | PA      | $1282462.91    | 0.07%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 8/40 #733871                                                      | CUSIP: 3620AMJQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     404402 | PA      | $405293.40     | 0.02%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/40 #733902                                                      | CUSIP: 3620AMKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     463681 | PA      | $451636.71     | 0.03%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 11/15/2040#734043                                             | CUSIP: 3620AMP48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     208479 | PA      | $202756.07     | 0.01%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/40 #735356                                                      | CUSIP: 3620AN5R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     107745 | PA      | $108021.03     | 0.01%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 8/40 #737085                                                      | CUSIP: 3620AQ2S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     195372 | PA      | $190427.07     | 0.01%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 07/15/2042#736746                                             | CUSIP: 3620AQP72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     163766 | PA      | $151542.13     | 0.01%             | 2042-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 5/40 #736729                                                      | CUSIP: 3620AQPN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     661564 | PA      | $663193.35     | 0.04%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/40 #737005                                                      | CUSIP: 3620AQYA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     193476 | PA      | $194001.42     | 0.01%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/40 #737007                                                      | CUSIP: 3620AQYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     412602 | PA      | $413785.06     | 0.02%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/40 #737015                                                      | CUSIP: 3620AQYL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     530506 | PA      | $531785.11     | 0.03%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 2/40 #737037                                                      | CUSIP: 3620AQZA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2652 | PA      | $2707.64       | 0.00%             | 2040-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 2/41 #738002                                                      | CUSIP: 3620AR3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57257 | PA      | $55732.24      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 2/41 #738017                                                      | CUSIP: 3620AR4A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75095 | PA      | $73033.14      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 3/40 #737377                                                      | CUSIP: 3620ARFS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11675 | PA      | $11921.71      | 0.00%             | 2040-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 09/15/2040#737423                                             | CUSIP: 3620ARG88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5786 | PA      | $5634.59       | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/40 #737425                                                      | CUSIP: 3620ARHA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     203515 | PA      | $198027.34     | 0.01%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/40 #737433                                                      | CUSIP: 3620ARHJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30771 | PA      | $29966.26      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/40 #737442                                                      | CUSIP: 3620ARHT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11399 | PA      | $11102.72      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/40 #737532                                                     | CUSIP: 3620ARLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16343 | PA      | $15907.37      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/40 #737539                                                     | CUSIP: 3620ARLU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29848 | PA      | $29053.34      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/40 #737553                                                     | CUSIP: 3620ARMA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16686 | PA      | $16241.43      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/40 #737559                                                     | CUSIP: 3620ARMG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3825096 | PA      | $3722586.44    | 0.22%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 11/15/2040#737576                                             | CUSIP: 3620ARMZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42586 | PA      | $41616.93      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/40 #737790                                                     | CUSIP: 3620ARUP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6841 | PA      | $6656.96       | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/40 #737812                                                     | CUSIP: 3620ARVD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     613109 | PA      | $597081.36     | 0.03%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 1/41 #737898                                                      | CUSIP: 3620ARX30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52316 | PA      | $50974.93      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #738885                                                     | CUSIP: 3620AS2S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     267645 | PA      | $260167.82     | 0.02%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #738886                                                     | CUSIP: 3620AS2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     124895 | PA      | $121609.43     | 0.01%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #738887                                                     | CUSIP: 3620AS2U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     189053 | PA      | $183801.53     | 0.01%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #738889                                                     | CUSIP: 3620AS2W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     851327 | PA      | $826846.23     | 0.05%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 8/41 #738630                                                      | CUSIP: 3620ASST7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39944 | PA      | $38782.30      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.0% 09/15/21 #738767                                                   | CUSIP: 3620ASW47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50075 | PA      | $48643.68      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/40 #739091                                                      | CUSIP: 3620ATC47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43591 | PA      | $43717.71      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 7/40 #739233                                                      | CUSIP: 3620ATHJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42178 | PA      | $43068.68      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 11/41 #739348                                                     | CUSIP: 3620ATL54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1048059 | PA      | $991233.44     | 0.06%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 06/15/2043#740830                                             | CUSIP: 3620AVA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     105806 | PA      | $99374.77      | 0.01%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 2/42 #740801                                                      | CUSIP: 3620AVAA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1174274 | PA      | $1106078.34    | 0.06%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/40 #741209                                                      | CUSIP: 3620AVN24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5372 | PA      | $5395.06       | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 5/40 #741200                                                      | CUSIP: 3620AVNR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     146478 | PA      | $146793.55     | 0.01%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/40 #741309                                                      | CUSIP: 3620AVR61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100826 | PA      | $101074.82     | 0.01%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 11/15/2040#741444                                             | CUSIP: 3620AVWD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23389 | PA      | $22762.11      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 1/41 #741521                                                      | CUSIP: 3620AVYS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30692 | PA      | $29825.12      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 9/40 #742217                                                      | CUSIP: 3620AWSE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137326 | PA      | $137656.91     | 0.01%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #743034                                                      | CUSIP: 3620AXPT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     571623 | PA      | $554711.31     | 0.03%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #743035                                                      | CUSIP: 3620AXPU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     317242 | PA      | $307699.26     | 0.02%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #743036                                                      | CUSIP: 3620AXPV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     448568 | PA      | $435891.92     | 0.03%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #743037                                                      | CUSIP: 3620AXPW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     409402 | PA      | $397154.85     | 0.02%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 15YR 3.50% 9/26 #743076                                                 | CUSIP: 3620AXQ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2296 | PA      | $2290.67       | 0.00%             | 2026-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 9/40 #743133                                                      | CUSIP: 3620AXSW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11367 | PA      | $11608.26      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 07/15/2040#745230                                             | CUSIP: 3620C04P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1177 | PA      | $1145.95       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/40 #745083                                                      | CUSIP: 3620C0XL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     658944 | PA      | $660396.65     | 0.04%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/40 #745088                                                      | CUSIP: 3620C0XR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     357860 | PA      | $358741.40     | 0.02%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/40 #745094                                                      | CUSIP: 3620C0XX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1649698 | PA      | $1653846.48    | 0.10%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/40 #745125                                                      | CUSIP: 3620C0YW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15745 | PA      | $15338.83      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/40 #745127                                                      | CUSIP: 3620C0YY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     352741 | PA      | $353573.32     | 0.02%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 9/40 #745409                                                      | CUSIP: 3620C1DN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     167277 | PA      | $167557.63     | 0.01%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/40 #746823                                                     | CUSIP: 3620C2VQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8967 | PA      | $8758.59       | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 8/40 #747136                                                      | CUSIP: 3620C3BD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2834 | PA      | $2756.48       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/40 #747250                                                      | CUSIP: 3620C3EX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127454 | PA      | $124164.63     | 0.01%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 10/15/2040#747834                                             | CUSIP: 3620C3Y71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51271 | PA      | $49830.87      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 7/41 #748144                                                      | CUSIP: 3620C4ER7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13289 | PA      | $12886.94      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/41 #748220                                                      | CUSIP: 3620C4G53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74654 | PA      | $72568.83      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #748242                                                     | CUSIP: 3620C4HT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29881 | PA      | $29050.69      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 11/41 #748278                                                     | CUSIP: 3620C4JX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66723 | PA      | $64793.06      | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/41 #748314                                                     | CUSIP: 3620C4K33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73970 | PA      | $71745.24      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 01/15/2042#748353                                             | CUSIP: 3620C4MA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48264 | PA      | $46876.41      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 8/40 #748495                                                      | CUSIP: 3620C4RQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52529 | PA      | $51121.03      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 09/15/2040#748554                                             | CUSIP: 3620C4TK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     248466 | PA      | $241604.88     | 0.01%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/40 #748670                                                     | CUSIP: 3620C4W71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8413 | PA      | $8200.30       | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #749249                                                      | CUSIP: 3620C5L62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     710643 | PA      | $690789.79     | 0.04%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #749264                                                      | CUSIP: 3620C5MM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     510435 | PA      | $495248.95     | 0.03%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 8/41 #749289                                                      | CUSIP: 3620C5NE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1205894 | PA      | $1169227.56    | 0.07%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 12/15/2040#749974                                             | CUSIP: 3620C6FP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3016 | PA      | $2927.75       | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 10/40 #750312                                                     | CUSIP: 3620C6R98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12399 | PA      | $12660.61      | 0.00%             | 2040-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/29 #486228                                                     | CUSIP: 36210AD95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        242 | PA      | $250.70        | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #486417                                                      | CUSIP: 36210AK63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         50 | PA      | $50.81         | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #486467                                                      | CUSIP: 36210AMQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1082 | PA      | $1101.63       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 10/28 #486546                                                     | CUSIP: 36210AP76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29237 | PA      | $30235.30      | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/28 #486531                                                      | CUSIP: 36210APQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2134 | PA      | $2169.19       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/28 #486599                                                     | CUSIP: 36210ARU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         57 | PA      | $57.21         | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/28 #486784                                                     | CUSIP: 36210AXM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        642 | PA      | $653.77        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 4/29 #487112                                                      | CUSIP: 36210BDR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        373 | PA      | $376.75        | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/28 #487317                                                     | CUSIP: 36210BK61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5994 | PA      | $6114.68       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 10/28 #487320                                                     | CUSIP: 36210BK95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9259 | PA      | $9575.28       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/28 #487338                                                     | CUSIP: 36210BLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        900 | PA      | $918.36        | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 1/29 #487383                                                      | CUSIP: 36210BM85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6102 | PA      | $6243.71       | 0.00%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 1/29 #487384                                                      | CUSIP: 36210BM93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3346 | PA      | $3423.72       | 0.00%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/29 #487413                                                      | CUSIP: 36210BN68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        850 | PA      | $868.07        | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 4/29 #487460                                                      | CUSIP: 36210BQM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3561 | PA      | $3643.76       | 0.00%             | 2029-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 7/29 #487568                                                      | CUSIP: 36210BTZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        277 | PA      | $283.64        | 0.00%             | 2029-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/29 #487590                                                      | CUSIP: 36210BUP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3287 | PA      | $3355.51       | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/29 #487613                                                      | CUSIP: 36210BVE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         41 | PA      | $41.72         | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #487646                                                      | CUSIP: 36210BWF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        138 | PA      | $141.53        | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 9/28 #490576                                                      | CUSIP: 36210E6M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        359 | PA      | $370.85        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/28 #490591                                                      | CUSIP: 36210E7C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        478 | PA      | $486.95        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 11/41 #489787                                                     | CUSIP: 36210ECY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     322895 | PA      | $306939.05     | 0.02%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/41 #489861                                                      | CUSIP: 36210EFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14230 | PA      | $13792.70      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 11/41 #489862                                                     | CUSIP: 36210EFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     471540 | PA      | $458059.70     | 0.03%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/31 #489937                                                      | CUSIP: 36210EHN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13061 | PA      | $13488.17      | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/29 #490015                                                      | CUSIP: 36210EK40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2728 | PA      | $2785.89       | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/28 #490807                                                     | CUSIP: 36210FGQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        631 | PA      | $638.42        | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/28 #490977                                                     | CUSIP: 36210FM29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4055 | PA      | $4134.17       | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/29 #491154                                                      | CUSIP: 36210FTK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        923 | PA      | $943.37        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/29 #491192                                                      | CUSIP: 36210FUR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        206 | PA      | $208.66        | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #491644                                                      | CUSIP: 36210GER1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18077 | PA      | $18683.92      | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 11/28 #492951                                                     | CUSIP: 36210HTG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7799 | PA      | $8065.37       | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/30 #493505                                                      | CUSIP: 36210JGN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3612 | PA      | $3766.91       | 0.00%             | 2030-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 5/29 #493929                                                      | CUSIP: 36210JVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2916 | PA      | $3015.72       | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 1/29 #495911                                                      | CUSIP: 36210L3U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2474 | PA      | $2529.75       | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #495301                                                      | CUSIP: 36210LGJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2390 | PA      | $2463.05       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/29 #495849                                                      | CUSIP: 36210LZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1488 | PA      | $1502.92       | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/29 #497493                                                      | CUSIP: 36210NUS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6167 | PA      | $6297.54       | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #498119                                                      | CUSIP: 36210PK86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        756 | PA      | $775.14        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 4/29 #499435                                                      | CUSIP: 36210QY89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1292 | PA      | $1319.19       | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 1/29 #499688                                                      | CUSIP: 36210RCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        535 | PA      | $538.05        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #499951                                                      | CUSIP: 36210RL81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        186 | PA      | $192.51        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 6/29 #500038                                                      | CUSIP: 36210RPX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $3.17          | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/29 #500146                                                     | CUSIP: 36210RTB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1096 | PA      | $1136.15       | 0.00%             | 2029-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #500243                                                      | CUSIP: 36210RWC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8059 | PA      | $8341.62       | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 4/29 #501737                                                   | CUSIP: 36210TLS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65577 | PA      | $66304.99      | 0.00%             | 2029-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #502123                                                      | CUSIP: 36210TYU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1658 | PA      | $1713.84       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/29 #503072                                                      | CUSIP: 36210U2D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1842 | PA      | $1876.59       | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/29 #502361                                                      | CUSIP: 36210UB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         43 | PA      | $43.37         | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/29 #502574                                                      | CUSIP: 36210UJT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3298 | PA      | $3376.58       | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 2/29 #502958                                                      | CUSIP: 36210UWT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2112 | PA      | $2177.12       | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/29 #503025                                                      | CUSIP: 36210UYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        704 | PA      | $708.86        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #503975                                                      | CUSIP: 36210V2G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1452 | PA      | $1500.00       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #503983                                                      | CUSIP: 36210V2Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        140 | PA      | $144.46        | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/29 #503984                                                      | CUSIP: 36210V2R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        930 | PA      | $957.42        | 0.00%             | 2029-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/29 #503992                                                     | CUSIP: 36210V2Z3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        371 | PA      | $384.75        | 0.00%             | 2029-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/29 #505085                                                      | CUSIP: 36210XCW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        361 | PA      | $374.03        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 4/29 #506673                                                      | CUSIP: 36210Y2E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1015 | PA      | $1047.42       | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/29 #506122                                                     | CUSIP: 36210YG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11870 | PA      | $12310.06      | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/29 #506618                                                      | CUSIP: 36210YYP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        346 | PA      | $352.90        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 6/29 #506924                                                      | CUSIP: 36211AD52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1380 | PA      | $1427.56       | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #507098                                                      | CUSIP: 36211AKK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1817 | PA      | $1858.57       | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/29 #507529                                                      | CUSIP: 36211AY26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        130 | PA      | $134.63        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #507544                                                      | CUSIP: 36211AZH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2484 | PA      | $2567.79       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 5/29 #508131                                                   | CUSIP: 36211BPQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33692 | PA      | $34055.76      | 0.00%             | 2029-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 6/29 #508245                                                   | CUSIP: 36211BTA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134519 | PA      | $136052.69     | 0.01%             | 2029-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #509403                                                      | CUSIP: 36211C3L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5023 | PA      | $5165.34       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/29 #509418                                                      | CUSIP: 36211C4B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        414 | PA      | $424.31        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/29 #508736                                                      | CUSIP: 36211CEH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3458 | PA      | $3533.01       | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #508807                                                      | CUSIP: 36211CGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         35 | PA      | $35.07         | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/29 #508833                                                      | CUSIP: 36211CHJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        253 | PA      | $258.63        | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/29 #509366                                                      | CUSIP: 36211CZ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4579 | PA      | $4736.01       | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #510300                                                      | CUSIP: 36211D3H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        227 | PA      | $234.31        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/29 #510107                                                      | CUSIP: 36211DU81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5005 | PA      | $5169.62       | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 12/29 #510847                                                     | CUSIP: 36211EP85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        150 | PA      | $150.84        | 0.00%             | 2029-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/29 #510839                                                     | CUSIP: 36211EPY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5467 | PA      | $5654.45       | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 6/29 #510959                                                      | CUSIP: 36211ETQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        150 | PA      | $152.12        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/29 #510988                                                      | CUSIP: 36211EUM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        393 | PA      | $394.63        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 6/29 #510991                                                      | CUSIP: 36211EUQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        691 | PA      | $706.85        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 7/29 #513173                                                   | CUSIP: 36211HCJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58877 | PA      | $59548.41      | 0.00%             | 2029-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 8/29 #513254                                                   | CUSIP: 36211HE31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26523 | PA      | $26792.08      | 0.00%             | 2029-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #513389                                                      | CUSIP: 36211HKA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2723 | PA      | $2752.93       | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #513390                                                      | CUSIP: 36211HKB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12646 | PA      | $13097.59      | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/29 #513403                                                      | CUSIP: 36211HKQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1946 | PA      | $1978.48       | 0.00%             | 2029-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/29 #513482                                                     | CUSIP: 36211HM73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        666 | PA      | $691.49        | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/29 #513541                                                     | CUSIP: 36211HP21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         30 | PA      | $31.46         | 0.00%             | 2029-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/29 #513653                                                      | CUSIP: 36211HTJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         26 | PA      | $26.98         | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/29 #513703                                                      | CUSIP: 36211HU41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         29 | PA      | $28.93         | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/29 #513705                                                      | CUSIP: 36211HU66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        357 | PA      | $365.19        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/29 #513706                                                      | CUSIP: 36211HU74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        603 | PA      | $623.60        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/29 #513680                                                      | CUSIP: 36211HUD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2601 | PA      | $2656.16       | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/29 #513722                                                      | CUSIP: 36211HVP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        169 | PA      | $171.73        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/29 #513724                                                      | CUSIP: 36211HVR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8947 | PA      | $9241.32       | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/30 #514868                                                      | CUSIP: 36211J6D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2257 | PA      | $2328.07       | 0.00%             | 2030-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/29 #514322                                                      | CUSIP: 36211JLB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14102 | PA      | $14586.26      | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #514397                                                      | CUSIP: 36211JNN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        771 | PA      | $796.43        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #514428                                                      | CUSIP: 36211JPM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        235 | PA      | $243.46        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/29 #514496                                                      | CUSIP: 36211JRR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2299 | PA      | $2377.67       | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 11/29 #515270                                                     | CUSIP: 36211KMT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8242 | PA      | $8522.83       | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/29 #515320                                                     | CUSIP: 36211KPD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2905 | PA      | $2978.77       | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 3/30 #515340                                                      | CUSIP: 36211KPZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6282 | PA      | $6527.62       | 0.00%             | 2030-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/30 #515360                                                      | CUSIP: 36211KQM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13951 | PA      | $14351.98      | 0.00%             | 2030-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/30 #515361                                                      | CUSIP: 36211KQN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1462 | PA      | $1503.98       | 0.00%             | 2030-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.50% 9/30 #515508                                                      | CUSIP: 36211KU93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20865 | PA      | $21572.16      | 0.00%             | 2030-09-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/29 #515956                                                     | CUSIP: 36211LE57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1747 | PA      | $1798.73       | 0.00%             | 2029-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/29 #516086                                                     | CUSIP: 36211LJ78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2521 | PA      | $2595.08       | 0.00%             | 2029-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/29 #516146                                                     | CUSIP: 36211LL34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25746 | PA      | $26573.43      | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/29 #516121                                                     | CUSIP: 36211LLA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         51 | PA      | $52.60         | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 12/29 #517072                                                     | CUSIP: 36211MMV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3786 | PA      | $3900.76       | 0.00%             | 2029-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #518459                                                      | CUSIP: 36211N5U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        379 | PA      | $380.85        | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #518488                                                      | CUSIP: 36211N6Z6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2039 | PA      | $2094.79       | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #517803                                                      | CUSIP: 36211NGL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3002 | PA      | $3102.78       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #517850                                                      | CUSIP: 36211NH35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        717 | PA      | $742.18        | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #517828                                                      | CUSIP: 36211NHD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        526 | PA      | $544.28        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/29 #517957                                                     | CUSIP: 36211NME5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         97 | PA      | $99.68         | 0.00%             | 2029-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/29 #518035                                                     | CUSIP: 36211NPU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        390 | PA      | $404.82        | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 4/30 #518228                                                      | CUSIP: 36211NVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1062 | PA      | $1096.65       | 0.00%             | 2030-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 9/29 #518835                                                   | CUSIP: 36211PLQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57134 | PA      | $57785.38      | 0.00%             | 2029-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/29 #519495                                                     | CUSIP: 36211QC82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4456 | PA      | $4589.07       | 0.00%             | 2029-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/29 #520075                                                     | CUSIP: 36211QXC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        448 | PA      | $463.00        | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/29 #520077                                                     | CUSIP: 36211QXE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4183 | PA      | $4273.32       | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 7/30 #520777                                                      | CUSIP: 36211RQ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         83 | PA      | $83.96         | 0.00%             | 2030-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 6/35 #521365                                                      | CUSIP: 36211SFE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1740 | PA      | $1773.73       | 0.00%             | 2035-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/29 #521585                                                     | CUSIP: 36211SNA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3356 | PA      | $3458.41       | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/29 #521873                                                     | CUSIP: 36211SXA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9135 | PA      | $9467.58       | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/29 #521907                                                     | CUSIP: 36211SYC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13116 | PA      | $13584.48      | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 10/29 #522301                                                  | CUSIP: 36211TGJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78862 | PA      | $79854.82      | 0.00%             | 2029-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 11/29 #522377                                                  | CUSIP: 36211TJW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     192807 | PA      | $195064.14     | 0.01%             | 2029-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 1/30 #522577                                                      | CUSIP: 36211TQ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2724 | PA      | $2805.75       | 0.00%             | 2030-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/30 #523220                                                      | CUSIP: 36211UG55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13311 | PA      | $13882.53      | 0.00%             | 2030-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/30 #527418                                                     | CUSIP: 36211Y4B7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7417 | PA      | $7666.44       | 0.00%             | 2030-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 12/29 #526603                                                  | CUSIP: 36211YAC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     295114 | PA      | $298656.81     | 0.02%             | 2029-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 1/30 #526737                                                   | CUSIP: 36211YEJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77865 | PA      | $78845.76      | 0.00%             | 2030-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 1/30 #526843                                                   | CUSIP: 36211YHU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     126587 | PA      | $128143.85     | 0.01%             | 2030-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 3/30 #526987                                                   | CUSIP: 36211YNC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22800 | PA      | $23093.34      | 0.00%             | 2030-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/30 #528287                                                      | CUSIP: 36212A2U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        801 | PA      | $823.09        | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/30 #528295                                                      | CUSIP: 36212A3C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1587 | PA      | $1631.20       | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 7/33 #528150                                                      | CUSIP: 36212AWK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3256 | PA      | $3339.44       | 0.00%             | 2033-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 3/31 #528592                                                      | CUSIP: 36212BF99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23949 | PA      | $25067.81      | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/30 #529718                                                     | CUSIP: 36212CPB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6087 | PA      | $6286.12       | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 2/31 #529813                                                      | CUSIP: 36212CSA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20473 | PA      | $21188.72      | 0.00%             | 2031-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.50% 1/31 #529816                                                      | CUSIP: 36212CSD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28214 | PA      | $29429.11      | 0.00%             | 2031-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 3/31 #529829                                                      | CUSIP: 36212CSS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43616 | PA      | $45604.45      | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 2/31 #529877                                                      | CUSIP: 36212CUA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16898 | PA      | $17420.52      | 0.00%             | 2031-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/31 #529896                                                      | CUSIP: 36212CUV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50030 | PA      | $52116.96      | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 4/31 #529900                                                      | CUSIP: 36212CUZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1295 | PA      | $1338.73       | 0.00%             | 2031-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.50% 2/31 #529917                                                      | CUSIP: 36212CVJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22592 | PA      | $23527.56      | 0.00%             | 2031-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 6/31 #529922                                                      | CUSIP: 36212CVP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30234 | PA      | $31624.70      | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/31 #530480                                                      | CUSIP: 36212DJZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3731 | PA      | $3847.04       | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 1/33 #530800                                                      | CUSIP: 36212DUZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42233 | PA      | $43825.40      | 0.00%             | 2033-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 1/31 #531524                                                      | CUSIP: 36212EPH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7901 | PA      | $8235.32       | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 5/30 #531642                                                      | CUSIP: 36212ES73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4154 | PA      | $4278.30       | 0.00%             | 2030-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 4/30 #532203                                                   | CUSIP: 36212FGL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57265 | PA      | $57789.93      | 0.00%             | 2030-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 5/30 #532373                                                   | CUSIP: 36212FMW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34363 | PA      | $34677.96      | 0.00%             | 2030-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 6/30 #532448                                                   | CUSIP: 36212FP99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45930 | PA      | $46560.00      | 0.00%             | 2030-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/30 #532610                                                      | CUSIP: 36212FVB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2919 | PA      | $3018.66       | 0.00%             | 2030-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/30 #532641                                                     | CUSIP: 36212FWA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        181 | PA      | $187.31        | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 7/30 #532719                                                      | CUSIP: 36212FYQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        166 | PA      | $171.16        | 0.00%             | 2030-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/30 #532749                                                      | CUSIP: 36212FZN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1037 | PA      | $1072.32       | 0.00%             | 2030-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/30 #533883                                                      | CUSIP: 36212HCU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        108 | PA      | $110.61        | 0.00%             | 2030-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 6/30 #533888                                                      | CUSIP: 36212HCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3128 | PA      | $3213.81       | 0.00%             | 2030-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/30 #535548                                                     | CUSIP: 36212J5H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15495 | PA      | $16170.80      | 0.00%             | 2030-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 1/31 #535388                                                      | CUSIP: 36212JXR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5039 | PA      | $5264.55       | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/29 #536601                                                     | CUSIP: 36212LDE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        558 | PA      | $576.60        | 0.00%             | 2029-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/31 #538282                                                     | CUSIP: 36212M6T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1867 | PA      | $1930.54       | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 5/35 #538719                                                      | CUSIP: 36212NPC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        735 | PA      | $749.10        | 0.00%             | 2035-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/30 #540045                                                     | CUSIP: 36212P5E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4517 | PA      | $4682.01       | 0.00%             | 2030-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/30 #539569                                                     | CUSIP: 36212PMS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        711 | PA      | $744.09        | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/30 #540606                                                     | CUSIP: 36212QR36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50656 | PA      | $52570.39      | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 9/30 #540839                                                   | CUSIP: 36212QZC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64416 | PA      | $65435.33      | 0.00%             | 2030-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 10/30 #543542                                                  | CUSIP: 36212TZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10996 | PA      | $11149.82      | 0.00%             | 2030-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 4/35 #544115                                                      | CUSIP: 36212UN80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3091 | PA      | $3147.27       | 0.00%             | 2035-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 11/30 #545451                                                  | CUSIP: 36212V5L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35820 | PA      | $36368.78      | 0.00%             | 2030-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/30 #544885                                                     | CUSIP: 36212VJ67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3820 | PA      | $3906.91       | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 12/30 #545295                                                  | CUSIP: 36212VXY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33697 | PA      | $34159.72      | 0.00%             | 2030-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 12/30 #545333                                                  | CUSIP: 36212VY60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30853 | PA      | $31333.08      | 0.00%             | 2030-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 11/30 #545534                                                  | CUSIP: 36212WBB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25788 | PA      | $26226.96      | 0.00%             | 2030-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 12/30 #545651                                                  | CUSIP: 36212WEY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30391 | PA      | $30886.59      | 0.00%             | 2030-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/31 #545889                                                      | CUSIP: 36212WNE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11629 | PA      | $12027.86      | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 3/40 #545931                                                      | CUSIP: 36212WPQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     141789 | PA      | $142202.63     | 0.01%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 3/40 #545934                                                      | CUSIP: 36212WPT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127705 | PA      | $127973.36     | 0.01%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 7/31 #548512                                                      | CUSIP: 36213AKZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65951 | PA      | $68188.75      | 0.00%             | 2031-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 9/32 #548615                                                      | CUSIP: 36213AN83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75429 | PA      | $78505.61      | 0.00%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/31 #550143                                                      | CUSIP: 36213CEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1494 | PA      | $1544.86       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 3/31 #550387                                                      | CUSIP: 36213CNC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11315 | PA      | $11843.84      | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 8/35 #550613                                                      | CUSIP: 36213CVE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1686 | PA      | $1718.50       | 0.00%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/31 #550984                                                     | CUSIP: 36213DCV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1940 | PA      | $2031.96       | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/32 #552576                                                      | CUSIP: 36213E2H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40849 | PA      | $42024.90      | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/32 #552581                                                      | CUSIP: 36213E2N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39132 | PA      | $41086.04      | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/41 #552550                                                     | CUSIP: 36213EZP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     534758 | PA      | $519113.85     | 0.03%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/41 #552552                                                     | CUSIP: 36213EZR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     758466 | PA      | $736403.09     | 0.04%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/41 #552554                                                     | CUSIP: 36213EZT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     202350 | PA      | $196664.76     | 0.01%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/32 #553503                                                      | CUSIP: 36213F3L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1703 | PA      | $1759.90       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/31 #553594                                                     | CUSIP: 36213F7F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        125 | PA      | $129.94        | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 05/15/2033#553243                                             | CUSIP: 36213FS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53948 | PA      | $54856.65      | 0.00%             | 2033-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/32 #553437                                                      | CUSIP: 36213FZA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        271 | PA      | $280.26        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 1/42 #553451                                                      | CUSIP: 36213FZQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2484976 | PA      | $2354763.57    | 0.14%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 1/42 #553452                                                      | CUSIP: 36213FZR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3999639 | PA      | $3791907.58    | 0.22%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/31 #553859                                                      | CUSIP: 36213GJC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4099 | PA      | $4240.67       | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/31 #554028                                                     | CUSIP: 36213GPM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2462 | PA      | $2552.26       | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 12/31 #554040                                                     | CUSIP: 36213GPZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7772 | PA      | $8057.59       | 0.00%             | 2031-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 2/32 #554070                                                      | CUSIP: 36213GQX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12779 | PA      | $13268.02      | 0.00%             | 2032-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 3/32 #554094                                                      | CUSIP: 36213GRP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1092 | PA      | $1133.68       | 0.00%             | 2032-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 4/33 #554116                                                      | CUSIP: 36213GSD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21427 | PA      | $21973.95      | 0.00%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/31 #554149                                                     | CUSIP: 36213GTE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37695 | PA      | $39456.47      | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/31 #554247                                                      | CUSIP: 36213GWG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4591 | PA      | $4752.06       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/31 #554277                                                      | CUSIP: 36213GXE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3070 | PA      | $3166.74       | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/31 #554732                                                      | CUSIP: 36213HHH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         51 | PA      | $52.55         | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 12/31 #556292                                                     | CUSIP: 36213J7D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32601 | PA      | $33747.58      | 0.00%             | 2031-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/31 #556294                                                     | CUSIP: 36213J7F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3566 | PA      | $3688.70       | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/31 #555999                                                     | CUSIP: 36213JUY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4895 | PA      | $5066.96       | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 1/32 #556310                                                      | CUSIP: 36213KAK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1515 | PA      | $1572.57       | 0.00%             | 2032-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.45% 1/32 #558495                                                      | CUSIP: 36213MNL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17825 | PA      | $18575.73      | 0.00%             | 2032-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 12/15/2033#558769                                             | CUSIP: 36213MW61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4940 | PA      | $5021.81       | 0.00%             | 2033-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 12/33 #562286                                                     | CUSIP: 36213RUK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1512 | PA      | $1569.85       | 0.00%             | 2033-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 12/33 #562287                                                     | CUSIP: 36213RUL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        499 | PA      | $518.89        | 0.00%             | 2033-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 1/34 #562355                                                      | CUSIP: 36213RWQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18962 | PA      | $19735.21      | 0.00%             | 2034-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 1/34 #562448                                                      | CUSIP: 36213RZM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19440 | PA      | $20216.06      | 0.00%             | 2034-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/31 #564543                                                     | CUSIP: 36213UEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        523 | PA      | $541.21        | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/31 #564650                                                      | CUSIP: 36213UH37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5413 | PA      | $5594.59       | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/32 #565482                                                      | CUSIP: 36213VFX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34688 | PA      | $35904.14      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/31 #567088                                                      | CUSIP: 36213W6Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1427 | PA      | $1477.16       | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/31 #566254                                                     | CUSIP: 36213WBX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        578 | PA      | $599.02        | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/32 #566345                                                      | CUSIP: 36213WES1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14292 | PA      | $14808.85      | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 05/15/2034#566382                                             | CUSIP: 36213WFX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6038 | PA      | $6147.54       | 0.00%             | 2034-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 10/33 #566499                                                     | CUSIP: 36213WKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5562 | PA      | $5659.50       | 0.00%             | 2033-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/31 #567123                                                      | CUSIP: 36213XAY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        491 | PA      | $507.97        | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/29 #186965                                                      | CUSIP: 362169TW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8808 | PA      | $9049.62       | 0.00%             | 2029-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #267916                                                      | CUSIP: 362195SD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        465 | PA      | $468.66        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/26 #279100                                                     | CUSIP: 36220H7M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        139 | PA      | $139.97        | 0.00%             | 2026-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #780773                                                      | CUSIP: 36225A2E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        170 | PA      | $172.07        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/27 #780798                                                     | CUSIP: 36225A3F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4009 | PA      | $4061.02       | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/28 #780873                                                     | CUSIP: 36225A6J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        145 | PA      | $146.80        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/28 #780896                                                     | CUSIP: 36225A7H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2025 | PA      | $2057.10       | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 4/26 #780355                                                      | CUSIP: 36225AMC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         33 | PA      | $33.28         | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/26 #780399                                                      | CUSIP: 36225ANQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        137 | PA      | $137.58        | 0.00%             | 2026-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/26 #780459                                                     | CUSIP: 36225AQL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          4 | PA      | $3.77          | 0.00%             | 2026-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/26 #780481                                                     | CUSIP: 36225ARA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          1 | PA      | $1.48          | 0.00%             | 2026-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 1/27 #780498                                                      | CUSIP: 36225ART9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        843 | PA      | $847.38        | 0.00%             | 2027-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/27 #780499                                                      | CUSIP: 36225ARU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1789 | PA      | $1794.89       | 0.00%             | 2027-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/27 #780570                                                      | CUSIP: 36225AT34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        512 | PA      | $515.37        | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 4/27 #780551                                                      | CUSIP: 36225ATG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1583 | PA      | $1597.41       | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 6/27 #780580                                                      | CUSIP: 36225AUD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        874 | PA      | $882.46        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/27 #780584                                                      | CUSIP: 36225AUH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        111 | PA      | $111.18        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/27 #780622                                                      | CUSIP: 36225AVP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        676 | PA      | $681.43        | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/27 #780632                                                      | CUSIP: 36225AVQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4713 | PA      | $4750.67       | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/27 #780626                                                      | CUSIP: 36225AVT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        400 | PA      | $403.97        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/27 #780628                                                      | CUSIP: 36225AVV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1107 | PA      | $1117.57       | 0.00%             | 2027-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/27 #780651                                                     | CUSIP: 36225AWL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13994 | PA      | $14115.89      | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #780717                                                      | CUSIP: 36225AYN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        771 | PA      | $781.42        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 3/28 #780728                                                      | CUSIP: 36225AYZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         97 | PA      | $98.33         | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 05/15/2034#781746                                             | CUSIP: 36225B5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     475361 | PA      | $483833.83     | 0.03%             | 2034-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 7/34 #781765                                                      | CUSIP: 36225B6A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14620 | PA      | $14882.14      | 0.00%             | 2034-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 11/33 #781769                                                     | CUSIP: 36225B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9631 | PA      | $9795.74       | 0.00%             | 2033-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 11/15/2033#781778                                             | CUSIP: 36225B6P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15880 | PA      | $16153.55      | 0.00%             | 2033-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/28 #780910                                                     | CUSIP: 36225BAK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1869 | PA      | $1905.89       | 0.00%             | 2028-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/28 #780933                                                     | CUSIP: 36225BBA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        572 | PA      | $581.15        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/28 #780936                                                     | CUSIP: 36225BBD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        223 | PA      | $227.19        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/28 #780990                                                     | CUSIP: 36225BC30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        184 | PA      | $187.37        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 2/29 #781024                                                      | CUSIP: 36225BD54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2560 | PA      | $2598.31       | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/28 #781018                                                      | CUSIP: 36225BDX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        246 | PA      | $249.40        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/29 #781031                                                      | CUSIP: 36225BEC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4812 | PA      | $4878.54       | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/29 #781073                                                      | CUSIP: 36225BFN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        133 | PA      | $137.79        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/29 #781135                                                     | CUSIP: 36225BHL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22209 | PA      | $22889.51      | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 3/30 #781145                                                      | CUSIP: 36225BHW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1618 | PA      | $1665.72       | 0.00%             | 2030-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/28 #781176                                                     | CUSIP: 36225BJV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2040 | PA      | $2071.06       | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/30 #781196                                                      | CUSIP: 36225BKH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1054 | PA      | $1076.88       | 0.00%             | 2030-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/30 #781199                                                      | CUSIP: 36225BKL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7566 | PA      | $7857.09       | 0.00%             | 2030-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 5/29 #781235                                                      | CUSIP: 36225BLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         35 | PA      | $35.54         | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/31 #781328                                                      | CUSIP: 36225BPM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1988 | PA      | $2044.90       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 3/32 #781419                                                      | CUSIP: 36225BSG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22414 | PA      | $23404.76      | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 7.00% 4/32 #781432                                                   | CUSIP: 36225BSV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     161740 | PA      | $168254.34     | 0.01%             | 2032-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 7.00% 7/32 #781534                                                   | CUSIP: 36225BV39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114853 | PA      | $119239.26     | 0.01%             | 2032-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 5/33 #781598                                                      | CUSIP: 36225BX37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      98815 | PA      | $100438.88     | 0.01%             | 2033-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 6.50% 8/32 #781609                                                   | CUSIP: 36225BYE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2721 | PA      | $2826.45       | 0.00%             | 2032-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 06/15/2033#781623                                             | CUSIP: 36225BYU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7093 | PA      | $7212.29       | 0.00%             | 2033-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.0% 06/20/2042#783637                                               | CUSIP: 3622A2BE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2080553 | PA      | $1930058.70    | 0.11%             | 2042-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.7% 10/15/2042#783717                                             | CUSIP: 3622A2DW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3261298 | PA      | $3087119.16    | 0.18%             | 2042-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.0% 12/20/2034#783753                                               | CUSIP: 3622A2E24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     732389 | PA      | $743920.71     | 0.04%             | 2034-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 11/15/2044#783946                                             | CUSIP: 3622A2L34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62931 | PA      | $57940.59      | 0.00%             | 2044-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 10/15/2040#751247                                             | CUSIP: 36230KL41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     188919 | PA      | $183794.25     | 0.01%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/40 #751249                                                     | CUSIP: 36230KL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6375 | PA      | $6210.59       | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 05/15/2043#753202                                             | CUSIP: 36230MRX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     167394 | PA      | $161748.12     | 0.01%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 01/15/2041#753826                                             | CUSIP: 36230NHB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62323 | PA      | $60745.68      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #754005                                                      | CUSIP: 36230NNW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22168 | PA      | $21659.51      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/41 #754197                                                      | CUSIP: 36230NUW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43128 | PA      | $41845.16      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/40 #755655                                                     | CUSIP: 36230QH84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77107 | PA      | $74989.88      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 01/15/2041#756664                                             | CUSIP: 36230RMM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     493431 | PA      | $479566.90     | 0.03%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/40 #756817                                                     | CUSIP: 36230RSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93417 | PA      | $93558.91      | 0.01%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/40 #757044                                                     | CUSIP: 36230RZH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79442 | PA      | $77299.80      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 08/15/2042#758071                                             | CUSIP: 36230S6G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86085 | PA      | $83480.22      | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 06/15/2042#757523                                             | CUSIP: 36230SLC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     843389 | PA      | $793777.80     | 0.05%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/41 #757600                                                      | CUSIP: 36230SNR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91304 | PA      | $91596.81      | 0.01%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/41 #757601                                                      | CUSIP: 36230SNS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60128 | PA      | $60251.33      | 0.00%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 06/15/2041#757629                                             | CUSIP: 36230SPN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     354112 | PA      | $344972.33     | 0.02%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #757631                                                      | CUSIP: 36230SPQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21250 | PA      | $20614.16      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 1/41 #757946                                                      | CUSIP: 36230SZK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3837 | PA      | $3730.27       | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 1/41 #759125                                                      | CUSIP: 36230UD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     198362 | PA      | $192916.24     | 0.01%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 2/41 #759190                                                      | CUSIP: 36230UF79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78014 | PA      | $75846.65      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 3/39 #782604                                                      | CUSIP: 36241K3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22281 | PA      | $22976.34      | 0.00%             | 2039-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 10/34 #781814                                                     | CUSIP: 36241KAP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15940 | PA      | $16218.58      | 0.00%             | 2034-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.0% 01/20/2035#781859                                               | CUSIP: 36241KB49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1618699 | PA      | $1646525.02    | 0.10%             | 2035-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 4/35 #781905                                                      | CUSIP: 36241KDJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60530 | PA      | $61659.40      | 0.00%             | 2035-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 3/36 #782068                                                      | CUSIP: 36241KJM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        463 | PA      | $471.78        | 0.00%             | 2036-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 9/36 #782114                                                      | CUSIP: 36241KK31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     188762 | PA      | $192485.99     | 0.01%             | 2036-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 03/15/2036#782105                                             | CUSIP: 36241KKS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     206351 | PA      | $210361.67     | 0.01%             | 2036-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 11/15/2035#782171                                             | CUSIP: 36241KMU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4657 | PA      | $4741.13       | 0.00%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.0% 02/20/2035#782224                                               | CUSIP: 36241KPH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1564 | PA      | $1590.51       | 0.00%             | 2035-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.00% 10/38 #782431                                                  | CUSIP: 36241KVY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20736 | PA      | $21128.32      | 0.00%             | 2038-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 11/15/2035#782523                                             | CUSIP: 36241KYU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31679 | PA      | $32257.69      | 0.00%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 1/39 #782557                                                      | CUSIP: 36241KZW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     142109 | PA      | $144834.36     | 0.01%             | 2039-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 2/42 #783532                                                      | CUSIP: 36241L4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     719869 | PA      | $680460.00     | 0.04%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 3/42 #783550                                                      | CUSIP: 36241L5K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5733278 | PA      | $5414931.78    | 0.31%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 12/33 #783571                                                     | CUSIP: 36241L6G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9934 | PA      | $10102.16      | 0.00%             | 2033-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4.5% 07/20/2041#783591                                               | CUSIP: 36241L7C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52650 | PA      | $52708.39      | 0.00%             | 2041-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 15YR 3.00% 5/27 #783596                                                 | CUSIP: 36241L7H3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80444 | PA      | $79963.35      | 0.00%             | 2027-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 11/39 #782810                                                     | CUSIP: 36241LDP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51825 | PA      | $51983.40      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 02/15/2040#782899                                             | CUSIP: 36241LGG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5726 | PA      | $5828.98       | 0.00%             | 2040-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/40 #782902                                                      | CUSIP: 36241LGK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35577 | PA      | $35673.82      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 9/36 #782939                                                      | CUSIP: 36241LHQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39416 | PA      | $40132.28      | 0.00%             | 2036-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/40 #783008                                                      | CUSIP: 36241LKV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1532152 | PA      | $1533703.39    | 0.09%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.50% 7/40 #783038                                                   | CUSIP: 36241LLT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     576097 | PA      | $596415.21     | 0.03%             | 2040-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 09/15/2040#783095                                             | CUSIP: 36241LNL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2916 | PA      | $2839.26       | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/40 #783143                                                     | CUSIP: 36241LP42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1298895 | PA      | $1264726.36    | 0.07%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 4/41 #783307                                                      | CUSIP: 36241LU87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2029569 | PA      | $1974183.37    | 0.11%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 3/41 #783295                                                      | CUSIP: 36241LUU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3390395 | PA      | $3394815.44    | 0.20%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 7/33 #613013                                                      | CUSIP: 36290NAN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        296 | PA      | $300.85        | 0.00%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 11/33 #613931                                                     | CUSIP: 36290QA88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3961 | PA      | $4121.12       | 0.00%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 12/33 #613945                                                     | CUSIP: 36290QBN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1467 | PA      | $1524.60       | 0.00%             | 2033-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 11/15/2042#614309                                             | CUSIP: 36290QN27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     608775 | PA      | $590165.41     | 0.03%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 12/15/2042#614307                                             | CUSIP: 36290QNY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     416510 | PA      | $383625.14     | 0.02%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 12/15/2042#614308                                             | CUSIP: 36290QNZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     189795 | PA      | $179655.27     | 0.01%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 06/15/2033#614485                                             | CUSIP: 36290QUJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2723 | PA      | $2761.54       | 0.00%             | 2033-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 10/33 #615667                                                     | CUSIP: 36290R6C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     534065 | PA      | $555283.71     | 0.03%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 10/33 #614960                                                     | CUSIP: 36290RE90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        273 | PA      | $278.47        | 0.00%             | 2033-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 8/33 #614932                                                      | CUSIP: 36290RED1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11875 | PA      | $12080.50      | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 7/33 #615272                                                      | CUSIP: 36290RQZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2252 | PA      | $2263.82       | 0.00%             | 2033-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 8/33 #615432                                                      | CUSIP: 36290RVZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30958 | PA      | $31479.55      | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 6/34 #615466                                                      | CUSIP: 36290RW33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1886 | PA      | $1920.82       | 0.00%             | 2034-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 6.50% 8/34 #616571                                                   | CUSIP: 36290S6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39662 | PA      | $41484.40      | 0.00%             | 2034-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 8/33 #615891                                                      | CUSIP: 36290SF89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        959 | PA      | $975.10        | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 08/15/2033#615865                                             | CUSIP: 36290SFE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     119395 | PA      | $121340.86     | 0.01%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 9/33 #615944                                                      | CUSIP: 36290SHV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122615 | PA      | $124785.80     | 0.01%             | 2033-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 10/33 #616014                                                     | CUSIP: 36290SK34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3490 | PA      | $3548.96       | 0.00%             | 2033-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 5/34 #616414                                                      | CUSIP: 36290SYK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        542 | PA      | $552.21        | 0.00%             | 2034-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 2/42 #617454                                                      | CUSIP: 36290T5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91408 | PA      | $86332.04      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 2/42 #616878                                                      | CUSIP: 36290TJX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     342053 | PA      | $324051.05     | 0.02%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 11/35 #616959                                                     | CUSIP: 36290TMG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23511 | PA      | $23973.19      | 0.00%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 7/36 #617147                                                      | CUSIP: 36290TTC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38018 | PA      | $39607.60      | 0.00%             | 2036-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 02/15/2042#617320                                             | CUSIP: 36290TYR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     225185 | PA      | $218228.26     | 0.01%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 6/37 #617570                                                      | CUSIP: 36290UCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77850 | PA      | $82495.29      | 0.00%             | 2037-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 10/37 #617743                                                     | CUSIP: 36290UHU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     350033 | PA      | $369303.91     | 0.02%             | 2037-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 4/35 #618234                                                      | CUSIP: 36290UY75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3057 | PA      | $3144.49       | 0.00%             | 2035-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 3/35 #618224                                                      | CUSIP: 36290UYV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32573 | PA      | $33508.33      | 0.00%             | 2035-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 11/34 #619249                                                     | CUSIP: 36290V5J9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1038 | PA      | $1037.35       | 0.00%             | 2034-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 10/36 #618671                                                     | CUSIP: 36290VJQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1041 | PA      | $1062.50       | 0.00%             | 2036-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 11/15/2034#619150                                             | CUSIP: 36290VZP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        445 | PA      | $453.06        | 0.00%             | 2034-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 08/15/2033#619489                                             | CUSIP: 36290WF64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26622 | PA      | $27108.52      | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 8/33 #620547                                                      | CUSIP: 36290XL40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13959 | PA      | $14192.29      | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 11/33 #621780                                                     | CUSIP: 36290YXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25915 | PA      | $26285.57      | 0.00%             | 2033-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 11/15/2033#622161                                             | CUSIP: 36291AFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31215 | PA      | $31778.83      | 0.00%             | 2033-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 2/34 #624262                                                      | CUSIP: 36291CQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        225 | PA      | $230.69        | 0.00%             | 2034-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 01/15/2034#626039                                             | CUSIP: 36291EPY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2592 | PA      | $2637.40       | 0.00%             | 2034-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 01/15/2035#626261                                             | CUSIP: 36291EWW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5306 | PA      | $5408.51       | 0.00%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 6/34 #627354                                                      | CUSIP: 36291F5P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        334 | PA      | $340.16        | 0.00%             | 2034-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 04/15/2034#627457                                             | CUSIP: 36291GB21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2606 | PA      | $2646.60       | 0.00%             | 2034-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 1/35 #627846                                                      | CUSIP: 36291GP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7843 | PA      | $8064.75       | 0.00%             | 2035-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 02/15/2034#627907                                             | CUSIP: 36291GR40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23204 | PA      | $23627.99      | 0.00%             | 2034-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 5/34 #628092                                                      | CUSIP: 36291GXV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3244 | PA      | $3304.28       | 0.00%             | 2034-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 4/34 #628871                                                      | CUSIP: 36291HT46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90196 | PA      | $92642.77      | 0.01%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 2/34 #628858                                                      | CUSIP: 36291HTP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3540 | PA      | $3636.52       | 0.00%             | 2034-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 03/15/2035#631185                                             | CUSIP: 36291LF26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47481 | PA      | $48404.12      | 0.00%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 06/15/2034#633623                                             | CUSIP: 36291N4G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        694 | PA      | $707.53        | 0.00%             | 2034-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 1/35 #636095                                                      | CUSIP: 36291RUU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        100 | PA      | $102.09        | 0.00%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 2/35 #636168                                                      | CUSIP: 36291RW57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        376 | PA      | $383.63        | 0.00%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 09/15/2035#636591                                             | CUSIP: 36291SF88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10166 | PA      | $10368.78      | 0.00%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 12/34 #637317                                                     | CUSIP: 36291TAS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        553 | PA      | $568.32        | 0.00%             | 2034-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 12/34 #638222                                                     | CUSIP: 36291UAX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6277 | PA      | $6398.58       | 0.00%             | 2034-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 12/36 #638718                                                     | CUSIP: 36291USF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49097 | PA      | $51065.03      | 0.00%             | 2036-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 2/37 #638726                                                      | CUSIP: 36291USP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22727 | PA      | $23688.98      | 0.00%             | 2037-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 7/35 #642590                                                      | CUSIP: 36291Y2X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8552 | PA      | $8711.76       | 0.00%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 04/15/2035#643572                                             | CUSIP: 36292A6H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2218 | PA      | $2260.15       | 0.00%             | 2035-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 07/15/2035#643292                                             | CUSIP: 36292AUR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     208882 | PA      | $212873.21     | 0.01%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 7/35 #643708                                                      | CUSIP: 36292BDM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23214 | PA      | $23852.58      | 0.00%             | 2035-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 06/15/2035#644970                                             | CUSIP: 36292CQX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        976 | PA      | $994.24        | 0.00%             | 2035-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 11/36 #647620                                                     | CUSIP: 36292FPD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     120964 | PA      | $126150.17     | 0.01%             | 2036-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 8/35 #647763                                                      | CUSIP: 36292FTU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3319 | PA      | $3432.25       | 0.00%             | 2035-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 10/35 #649492                                                     | CUSIP: 36292HRM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        798 | PA      | $814.02        | 0.00%             | 2035-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 4/36 #650166                                                      | CUSIP: 36292JJK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7259 | PA      | $7406.65       | 0.00%             | 2036-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 01/15/2036#651222                                             | CUSIP: 36292KPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3014 | PA      | $3074.46       | 0.00%             | 2036-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 05/15/2036#652573                                             | CUSIP: 36292L6J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2850 | PA      | $2886.10       | 0.00%             | 2036-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 6/36 #651859                                                      | CUSIP: 36292LE83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41178 | PA      | $41994.68      | 0.00%             | 2036-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 6/36 #651848                                                      | CUSIP: 36292LEV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2540 | PA      | $2590.86       | 0.00%             | 2036-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 03/15/2036#652750                                             | CUSIP: 36292MEX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63033 | PA      | $63945.46      | 0.00%             | 2036-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/36 #663332                                                     | CUSIP: 36294X4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79884 | PA      | $84774.04      | 0.00%             | 2036-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2043#666354                                             | CUSIP: 36295CH79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102752 | PA      | $94859.43      | 0.01%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 11/40 #667594                                                     | CUSIP: 36295DUT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8796 | PA      | $8573.61       | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 6/37 #670519                                                      | CUSIP: 36295G4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5088 | PA      | $5383.79       | 0.00%             | 2037-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2045#670007                                             | CUSIP: 36295GKU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     431379 | PA      | $394345.16     | 0.02%             | 2045-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 3/38 #675179                                                      | CUSIP: 36295NCQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6071 | PA      | $6198.00       | 0.00%             | 2038-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 6/40 #677135                                                      | CUSIP: 36295QHL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1994 | PA      | $2036.31       | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 7/39 #678635                                                      | CUSIP: 36295R4U9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79635 | PA      | $79744.83      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/39 #678644                                                     | CUSIP: 36295R5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     940130 | PA      | $915089.53     | 0.05%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 11/39 #678648                                                     | CUSIP: 36295R5H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     821810 | PA      | $822882.59     | 0.05%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 1/40 #678653                                                      | CUSIP: 36295R5N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     430043 | PA      | $418730.15     | 0.02%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/40 #678655                                                      | CUSIP: 36295R5Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     629307 | PA      | $629710.56     | 0.04%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.5% 02/15/2038#683957                                             | CUSIP: 36295XZW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1958 | PA      | $2019.77       | 0.00%             | 2038-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.5% 04/15/2038#687179                                             | CUSIP: 36296CM49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6282 | PA      | $6478.83       | 0.00%             | 2038-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 9/38 #687928                                                      | CUSIP: 36296DHD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3535 | PA      | $3733.70       | 0.00%             | 2038-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 9/39 #690064                                                      | CUSIP: 36296FTV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7840 | PA      | $7856.74       | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/41 #690665                                                      | CUSIP: 36296GJJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72536 | PA      | $72634.65      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 3/41 #690670                                                      | CUSIP: 36296GJP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     169103 | PA      | $169484.85     | 0.01%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/41 #690673                                                      | CUSIP: 36296GJS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     158553 | PA      | $158571.96     | 0.01%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 11/39 #691679                                                     | CUSIP: 36296HM48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     204679 | PA      | $199740.20     | 0.01%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 3/40 #691685                                                      | CUSIP: 36296HNA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     983600 | PA      | $984450.93     | 0.06%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 3/40 #691690                                                      | CUSIP: 36296HNF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     290676 | PA      | $283514.57     | 0.02%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 3/40 #691691                                                      | CUSIP: 36296HNG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87452 | PA      | $87508.44      | 0.01%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 11/40 #691706                                                     | CUSIP: 36296HNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45308 | PA      | $44049.77      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 2/41 #691707                                                      | CUSIP: 36296HNY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18250 | PA      | $17713.03      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 8/38 #691940                                                      | CUSIP: 36296HV97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115982 | PA      | $122697.05     | 0.01%             | 2038-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 8/39 #692468                                                      | CUSIP: 36296JJM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     244804 | PA      | $245482.12     | 0.01%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 7/39 #692706                                                      | CUSIP: 36296JR31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     462635 | PA      | $464075.37     | 0.03%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 4/39 #694381                                                      | CUSIP: 36296LM64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112014 | PA      | $109386.98     | 0.01%             | 2039-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 7/39 #698386                                                      | CUSIP: 36296Q2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67736 | PA      | $67936.86      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 3/39 #697946                                                      | CUSIP: 36296QL31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2296 | PA      | $2343.59       | 0.00%             | 2039-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 1/39 #698037                                                      | CUSIP: 36296QPW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11564 | PA      | $12251.65      | 0.00%             | 2039-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 7/40 #698163                                                      | CUSIP: 36296QTU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23230 | PA      | $23722.06      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 5/39 #698329                                                      | CUSIP: 36296QY29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92796 | PA      | $93080.89      | 0.01%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/39 #702094                                                      | CUSIP: 36296U7F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16893 | PA      | $16957.24      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/38 #701495                                                     | CUSIP: 36296UKG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66502 | PA      | $70313.39      | 0.00%             | 2038-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/38 #701496                                                     | CUSIP: 36296UKH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     146665 | PA      | $155092.31     | 0.01%             | 2038-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/38 #701498                                                     | CUSIP: 36296UKK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     250509 | PA      | $265681.45     | 0.02%             | 2038-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/38 #701512                                                     | CUSIP: 36296UKZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5113 | PA      | $5406.39       | 0.00%             | 2038-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 9/33 #701534                                                      | CUSIP: 36296ULP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87000 | PA      | $88570.69      | 0.01%             | 2033-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 1/39 #701572                                                      | CUSIP: 36296UMV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     180084 | PA      | $190432.03     | 0.01%             | 2039-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 3/39 #701745                                                      | CUSIP: 36296UTA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64569 | PA      | $67528.64      | 0.00%             | 2039-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 7/39 #702871                                                      | CUSIP: 36296V2C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46241 | PA      | $45101.46      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/39 #702873                                                      | CUSIP: 36296V2E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53266 | PA      | $51856.28      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/39 #702997                                                      | CUSIP: 36296V7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     704853 | PA      | $705823.41     | 0.04%             | 2039-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/39 #702999                                                      | CUSIP: 36296V7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     589325 | PA      | $590136.31     | 0.03%             | 2039-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 10/38 #702848                                                     | CUSIP: 36296VZM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     376925 | PA      | $388923.17     | 0.02%             | 2038-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 1/39 #702851                                                      | CUSIP: 36296VZQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     243665 | PA      | $244087.62     | 0.01%             | 2039-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 5/39 #703011                                                      | CUSIP: 36296WAL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90448 | PA      | $90617.91      | 0.01%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/39 #703023                                                      | CUSIP: 36296WAY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4452443 | PA      | $4460165.79    | 0.26%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 9/39 #704697                                                      | CUSIP: 36296X3E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     243433 | PA      | $244069.61     | 0.01%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 3/39 #704439                                                      | CUSIP: 36296XS47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29935 | PA      | $30029.93      | 0.00%             | 2039-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 7/39 #704624                                                      | CUSIP: 36296XYV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17523 | PA      | $17571.93      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 5/40 #704970                                                      | CUSIP: 36296YFK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38005 | PA      | $38807.20      | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/40 #705024                                                      | CUSIP: 36296YG97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52995 | PA      | $51618.66      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 4/39 #705324                                                      | CUSIP: 36296YSM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     408152 | PA      | $397686.02     | 0.02%             | 2039-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 10/15/2040#705890                                             | CUSIP: 36297AF73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154578 | PA      | $150410.02     | 0.01%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #705917                                                      | CUSIP: 36297AG23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68004 | PA      | $66048.92      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 7/41 #705923                                                      | CUSIP: 36297AG80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     258727 | PA      | $250860.54     | 0.01%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 5/41 #705915                                                      | CUSIP: 36297AGY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     227224 | PA      | $220426.44     | 0.01%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 08/15/2042#705952                                             | CUSIP: 36297AH55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13870 | PA      | $12780.00      | 0.00%             | 2042-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 9/39 #706759                                                      | CUSIP: 36297BE80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     764767 | PA      | $765985.09     | 0.04%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 3/40 #706790                                                      | CUSIP: 36297BF71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     225032 | PA      | $219261.57     | 0.01%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/39 #706762                                                      | CUSIP: 36297BFB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18306 | PA      | $17898.57      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/39 #706778                                                     | CUSIP: 36297BFT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     467349 | PA      | $455364.40     | 0.03%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 8/40 #706824                                                      | CUSIP: 36297BG96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91241 | PA      | $91241.61      | 0.01%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 02/15/2039#707284                                             | CUSIP: 36297BXM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12689 | PA      | $12956.51      | 0.00%             | 2039-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 9/38 #707530                                                      | CUSIP: 36297CA74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45592 | PA      | $47048.22      | 0.00%             | 2038-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 2/39 #707545                                                      | CUSIP: 36297CBN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92678 | PA      | $95657.27      | 0.01%             | 2039-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 10/39 #707956                                                     | CUSIP: 36297CQH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1308 | PA      | $1334.58       | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/41 #709061                                                     | CUSIP: 36297DWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62561 | PA      | $60967.41      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 11/39 #710991                                                     | CUSIP: 36297F2Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2349650 | PA      | $2399171.89    | 0.14%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 1/40 #711066                                                      | CUSIP: 36297F6B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4124265 | PA      | $4211878.50    | 0.24%             | 2040-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 1/40 #711074                                                      | CUSIP: 36297F6K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2591004 | PA      | $2597652.29    | 0.15%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/39 #710434                                                      | CUSIP: 36297FHK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     409048 | PA      | $400018.25     | 0.02%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/39 #710445                                                      | CUSIP: 36297FHW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     142158 | PA      | $138727.28     | 0.01%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/39 #710484                                                     | CUSIP: 36297FJ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     548924 | PA      | $535030.75     | 0.03%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 11/39 #710499                                                     | CUSIP: 36297FKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     333823 | PA      | $334517.95     | 0.02%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 8/39 #710763                                                      | CUSIP: 36297FTU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1683833 | PA      | $1688830.00    | 0.10%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 8/39 #710764                                                      | CUSIP: 36297FTV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1361623 | PA      | $1365324.10    | 0.08%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 9/39 #710839                                                      | CUSIP: 36297FV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     845728 | PA      | $848154.11     | 0.05%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 9/39 #710849                                                      | CUSIP: 36297FWJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1050750 | PA      | $1072822.22    | 0.06%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 10/39 #710923                                                     | CUSIP: 36297FYU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21792 | PA      | $22252.32      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/40 #711186                                                      | CUSIP: 36297GCX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70324 | PA      | $70500.97      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/40 #711188                                                      | CUSIP: 36297GCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106528 | PA      | $106807.04     | 0.01%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 1/40 #711483                                                      | CUSIP: 36297GM80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58743 | PA      | $57207.42      | 0.00%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/39 #711461                                                     | CUSIP: 36297GMJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1129529 | PA      | $1100189.45    | 0.06%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 10/39 #711463                                                     | CUSIP: 36297GML1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     124608 | PA      | $124761.35     | 0.01%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 11/39 #711469                                                     | CUSIP: 36297GMS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1757040 | PA      | $1711109.71    | 0.10%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/39 #711476                                                     | CUSIP: 36297GMZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     698790 | PA      | $680639.06     | 0.04%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 15YR 3.50% 3/27 #711637                                                 | CUSIP: 36297GS27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68249 | PA      | $68003.57      | 0.00%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 15YR 3.50% 12/26 #711615                                                | CUSIP: 36297GSC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34072 | PA      | $33954.61      | 0.00%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 12/41 #711616                                                     | CUSIP: 36297GSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1396934 | PA      | $1317572.99    | 0.08%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 12/15/2042#711697                                             | CUSIP: 36297GUW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67030 | PA      | $61738.11      | 0.00%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2043#711754                                             | CUSIP: 36297GWP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74747 | PA      | $68610.02      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 8/39 #713740                                                      | CUSIP: 36297J4Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     522955 | PA      | $524376.18     | 0.03%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 5/39 #714152                                                      | CUSIP: 36297KL90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32469 | PA      | $31757.86      | 0.00%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/39 #714174                                                      | CUSIP: 36297KMX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53479 | PA      | $52289.29      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/39 #714431                                                      | CUSIP: 36297KVY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48217 | PA      | $48331.20      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD MULTIFAMILY REMIC PASS THRU SECS | GNR 2001-58 X CSTR 9/41                                                      | CUSIP: 38373MBD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     149490 | PA      | $0.81          | 0.00%             | 2041-09-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2002-81 IO CSTR 9/42                                                     | CUSIP: 38373VN97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     500704 | PA      | $6443.41       | 0.00%             | 2042-09-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2003-75 ZA 5.5% 9/33                                                     | CUSIP: 38374CBC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     477162 | PA      | $492366.40     | 0.03%             | 2033-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNMA 2004-24 ZM 5% 04/34                                                     | CUSIP: 38374F2L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     996946 | PA      | $996936.59     | 0.06%             | 2034-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2004-46 BZ 6% 6/34                                                       | CUSIP: 38374G7H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     633301 | PA      | $647669.06     | 0.04%             | 2034-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2004-32 SG TSFR1M+638.552 3/33                                           | CUSIP: 38374GYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1006082 | PA      | $38209.48      | 0.00%             | 2033-03-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2004-32 GS 650-1ML 5/34                                                  | CUSIP: 38374GZM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     111669 | PA      | $6151.02       | 0.00%             | 2034-05-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2004-73 AL TSFR1M+708.552 8/34                                           | CUSIP: 38374H2N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     206612 | PA      | $19388.11      | 0.00%             | 2034-08-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2004-59 SC TSFR1M+708.552 8/34                                           | CUSIP: 38374HXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     655798 | PA      | $49563.21      | 0.00%             | 2034-08-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2004-86 G 6% 10/34                                                       | CUSIP: 38374JYM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    6001706 | PA      | $6249989.22    | 0.36%             | 2034-10-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 5.5% 01/20/2035                               | CUSIP: 38374KM75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    4692531 | PA      | $4825610.26    | 0.28%             | 2035-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2005-6 EX 5.5% 11/34                                                     | CUSIP: 38374KMC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1000834 | PA      | $1031722.04    | 0.06%             | 2034-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2005-6 EY 5.5% 11/33                                                     | CUSIP: 38374KMF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     974919 | PA      | $983041.06     | 0.06%             | 2033-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2005-13 SA TSFR1M+668.552 2/35                                           | CUSIP: 38374KUB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1205803 | PA      | $85958.29      | 0.00%             | 2035-02-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2005-24 TC 5.5% 3/35                                                     | CUSIP: 38374KZ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1164099 | PA      | $1201827.02    | 0.07%             | 2035-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2005-47 ZY 6% 6/35                                                       | CUSIP: 38374LQV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    3522683 | PA      | $3678034.91    | 0.21%             | 2035-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2005-57 PB 5.5% 7/35                                                     | CUSIP: 38374LZE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1758882 | PA      | $1822953.33    | 0.11%             | 2035-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 06-13 DS -1.5XTSFR1M+1092.828 3/36                                       | CUSIP: 38374MB40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1286481 | PA      | $1313769.77    | 0.08%             | 2036-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2005-82 JV 5% 6/35                                                       | CUSIP: 38374MBN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     957703 | PA      | $972601.25     | 0.06%             | 2035-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2005-82 NS TSFR1M+618.552 7/34                                           | CUSIP: 38374MBT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1232774 | PA      | $89224.62      | 0.01%             | 2034-07-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 5.5% 01/20/2036                               | CUSIP: 38374MVL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2124270 | PA      | $2185540.02    | 0.13%             | 2036-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2006-50 JC 5% 6/36                                                       | CUSIP: 38374NSL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       1007 | PA      | $1005.25       | 0.00%             | 2036-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2009-13 E 4.5% 3/39                                                      | CUSIP: 38374TNS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1225095 | PA      | $1219279.58    | 0.07%             | 2039-03-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2009-42 AY 5% 6/37                                                       | CUSIP: 38374UXE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     736389 | PA      | $747157.80     | 0.04%             | 2037-06-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2010-H010 FA TSFR1M+44.448 5/60                                          | CUSIP: 38375BBV3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     662573 | PA      | $661373.01     | 0.04%             | 2060-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2010-H19 FG TSFR1M+41.448 8/60                                           | CUSIP: 38375BFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1117393 | PA      | $1113895.96    | 0.06%             | 2060-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2010-H27 FA TSFR1M+38 12/60                                              | CUSIP: 38375BJK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     702453 | PA      | $697611.92     | 0.04%             | 2060-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2011-H05 FA TSFR1M+61.448 12/60                                          | CUSIP: 38375BKD3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     513706 | PA      | $513799.56     | 0.03%             | 2060-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2011-H07 FA TSFR1M+61.448 3/61                                           | CUSIP: 38375BKP6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     120559 | PA      | $120580.04     | 0.01%             | 2061-02-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2011-H12 FA TSFR1M+60.448 5/61                                           | CUSIP: 38375BLS9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     613871 | PA      | $613877.63     | 0.04%             | 2061-02-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2011-H13 FA TSFR1M+61.448 4/61                                           | CUSIP: 38375BLW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     470005 | PA      | $470109.28     | 0.03%             | 2061-04-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2011-H14 FB TSFR1M+61.448 5/61                                           | CUSIP: 38375BLZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     576502 | PA      | $576596.27     | 0.03%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2011-H14 FC TSFR1M+61.448 5/61                                           | CUSIP: 38375BMB5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     461795 | PA      | $461874.29     | 0.03%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2011-H17 FA TSFR1M+64.448 6/61                                           | CUSIP: 38375BML3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     492081 | PA      | $492384.78     | 0.03%             | 2061-06-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2011-H21 FA TSFR1M+71.448 10/61                                          | CUSIP: 38375BNE8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     563248 | PA      | $564273.07     | 0.03%             | 2061-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2012-H01 FA TSFR1M+81.448 11/61                                          | CUSIP: 38375BNX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     650769 | PA      | $652224.81     | 0.04%             | 2061-11-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2012-H03 FA TSFR1M+81.448 1/20/62 RVM                                    | CUSIP: 38375BPJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     373219 | PA      | $374266.36     | 0.02%             | 2062-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2012-H06 FA TSFR1M+74.448 1/62                                           | CUSIP: 38375BPQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     768539 | PA      | $770188.60     | 0.04%             | 2062-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2012-H07 FA TSFR1M+74.448 3/20/62                                        | CUSIP: 38375BQA3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     458382 | PA      | $459067.23     | 0.03%             | 2062-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2012-76 GF TSFR1M+41.448 6/42                                            | CUSIP: 38375C4S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     216009 | PA      | $215210.03     | 0.01%             | 2042-06-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2012-48 FA TSFR1M+46.448 4/42                                            | CUSIP: 38375CRD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     205740 | PA      | $203967.42     | 0.01%             | 2042-04-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2007-37 TS TSFR1M+657.552 6/37                                           | CUSIP: 38375KNC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     387576 | PA      | $32495.99      | 0.00%             | 2037-06-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2007-35 SC TSFR1M+3951.312 6/37                                          | CUSIP: 38375KVH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     157366 | PA      | $179820.39     | 0.01%             | 2037-06-16      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2008-51 FE TSFR1M+86.448 6/38                                            | CUSIP: 38375QU98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     119158 | PA      | $120276.45     | 0.01%             | 2038-06-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2008-57 AF TSFR1M+69.448 7/38                                            | CUSIP: 38375XHJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     278328 | PA      | $279641.59     | 0.02%             | 2038-07-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2015-H13 FL TSFR1M+39.448 05/63                                          | CUSIP: 38376RCN4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      10364 | PA      | $10319.74      | 0.00%             | 2063-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GOVERNMENT NAT MTG ASSN HECM 2015-H19 FA TSFR1M+31.448 04/63                 | CUSIP: 38376RFZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      17416 | PA      | $17227.07      | 0.00%             | 2063-04-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2015-H21 JZ VAR 06/65                                                    | CUSIP: 38376RGF7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      13511 | PA      | $13437.84      | 0.00%             | 2065-06-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2015-H21 HZ VAR 06/63                                                    | CUSIP: 38376RGJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     221714 | PA      | $218054.95     | 0.01%             | 2063-06-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2010-H03 FA TSFR1M+66.448 3/60                                           | CUSIP: 38376XNT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1366664 | PA      | $1367826.20    | 0.08%             | 2060-03-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2010-130 KF TSFR1M+76.448 10/40                                          | CUSIP: 38377LK98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     513783 | PA      | $516590.26     | 0.03%             | 2040-10-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2011-52 HI 7% 4/41                                                       | CUSIP: 38377VGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     122059 | PA      | $12613.02      | 0.00%             | 2041-04-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2011-136 WI 4.5% 5/40                                                    | CUSIP: 38377YTR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      60815 | PA      | $1766.35       | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 06/15/2042#AA4843                                             | CUSIP: 36178CLY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     301940 | PA      | $293602.31     | 0.02%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4% 7/41#769090                                                          | CUSIP: 36176LF75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44771 | PA      | $43483.70      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 05/15/2044#AE8414                                             | CUSIP: 36181CK31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     278186 | PA      | $269061.56     | 0.02%             | 2044-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.0% 11/40#AI8296                                                       | CUSIP: 36198VGD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     902272 | PA      | $879285.28     | 0.05%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 12/15/2041#793259                                             | CUSIP: 36177MTR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72975 | PA      | $70828.40      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 01/15/2045#AL3861                                             | CUSIP: 36184AJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     158963 | PA      | $154233.91     | 0.01%             | 2045-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 02/15/2045#AL4762                                             | CUSIP: 36184BJF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     312996 | PA      | $301553.80     | 0.02%             | 2045-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 03/15/2045#AL6733                                             | CUSIP: 36184DPS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     142067 | PA      | $138189.99     | 0.01%             | 2045-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 04/15/2045#AM2808                                             | CUSIP: 36184NDM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95339 | PA      | $92008.12      | 0.01%             | 2045-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 04/15/2045#AM0745                                             | CUSIP: 36184KZJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     298318 | PA      | $288627.07     | 0.02%             | 2045-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 07/15/2042#AB1355                                             | CUSIP: 36178LQG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     142509 | PA      | $138083.26     | 0.01%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 03/15/2045#AL2253                                             | CUSIP: 36183XQE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     247444 | PA      | $239523.02     | 0.01%             | 2045-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 02/15/2045#AL2170                                             | CUSIP: 36183XMT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86359 | PA      | $83419.94      | 0.00%             | 2045-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GINNIE MAE I POOL 30YR 4.0% 05/15/2044#AI3213                                | CUSIP: 36198PSA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     775952 | PA      | $749424.93     | 0.04%             | 2044-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 04/15/2045#AM2855                                             | CUSIP: 36184NE49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     175573 | PA      | $169256.19     | 0.01%             | 2045-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 06/15/2045#AN1605                                             | CUSIP: 36185GYA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     679670 | PA      | $659115.16     | 0.04%             | 2045-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.0% 11/45#AQ6540                                                    | CUSIP: 36189XHR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1395284 | PA      | $1341124.46    | 0.08%             | 2045-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.0% 11/45#AQ6547                                                    | CUSIP: 36189XHY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     147768 | PA      | $143465.54     | 0.01%             | 2045-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 09/20/2041#005177                                               | CUSIP: 36202FXE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9320 | PA      | $9660.18       | 0.00%             | 2041-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.75% 07/15/2040#728698                                            | CUSIP: 3620AFRT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     288990 | PA      | $291418.53     | 0.02%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 05/15/2036#653234                                            | CUSIP: 36292MV33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51893 | PA      | $52878.59      | 0.00%             | 2036-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 05/15/2036#653251                                            | CUSIP: 36292MWL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     180614 | PA      | $184088.61     | 0.01%             | 2036-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 04/15/2036#653175                                            | CUSIP: 36292MT85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49665 | PA      | $50645.45      | 0.00%             | 2036-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 06/36#656609                                                 | CUSIP: 36294QN23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     183592 | PA      | $187090.20     | 0.01%             | 2036-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 05/15/2036#653330                                            | CUSIP: 36292MY30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91933 | PA      | $93747.91      | 0.01%             | 2036-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 6/36#656734                                                  | CUSIP: 36294QSX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     234729 | PA      | $239156.92     | 0.01%             | 2036-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 07/15/2036#656870                                            | CUSIP: 36294QW72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97527 | PA      | $99475.79      | 0.01%             | 2036-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 7/36#656919                                                  | CUSIP: 36294QYQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75220 | PA      | $76726.26      | 0.00%             | 2036-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 08/15/2036#656876                                            | CUSIP: 36294QXD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91789 | PA      | $93559.85      | 0.01%             | 2036-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 8/36#660506                                                  | CUSIP: 36294UYB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93295 | PA      | $95137.14      | 0.01%             | 2036-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 08/15/2036#660642                                            | CUSIP: 36294U5B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     178218 | PA      | $181744.13     | 0.01%             | 2036-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 07/15/2036#660691                                            | CUSIP: 36294U7C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42024 | PA      | $42855.77      | 0.00%             | 2036-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 07/15/2036#660706                                            | CUSIP: 36294VAF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     174571 | PA      | $177967.45     | 0.01%             | 2036-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 09/15/2036#660831                                            | CUSIP: 36294VEC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     138787 | PA      | $141555.82     | 0.01%             | 2036-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 11/15/2036#662790                                            | CUSIP: 36294XKB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102417 | PA      | $104305.14     | 0.01%             | 2036-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 11/15/2036#662641                                            | CUSIP: 36294XEN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34919 | PA      | $35616.55      | 0.00%             | 2036-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 09/15/2041#770662                                               | CUSIP: 36176M5X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2397067 | PA      | $2328939.92    | 0.13%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 12/15/2040#757031                                               | CUSIP: 36230RY42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1743719 | PA      | $1695286.63    | 0.10%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 06/15/2041#770432                                             | CUSIP: 36176MVZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1154094 | PA      | $1122224.96    | 0.06%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.75% 01/46#AK8798                                                   | CUSIP: 36183SX30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1724722 | PA      | $1634964.03    | 0.09%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4.25% 01/20/2046#AK8799                                              | CUSIP: 36183SX48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     274753 | PA      | $266451.37     | 0.02%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 09/20/2040#004799                                               | CUSIP: 36202FKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21216 | PA      | $20228.41      | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.75% 02/20/2046#AK8800                                              | CUSIP: 36183SX55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     636337 | PA      | $603220.83     | 0.03%             | 2046-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 02/20/2046#AK8801                                                 | CUSIP: 36183SX63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     685361 | PA      | $659068.17     | 0.04%             | 2046-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.25% 02/41#AO9700                                                   | CUSIP: 3617AAX58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     670285 | PA      | $589373.44     | 0.03%             | 2041-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNMA 2016-17A 3% 2/46                                                        | CUSIP: 38379T5X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   10192814 | PA      | $9477054.21    | 0.55%             | 2046-02-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 03/20/2043#783737                                               | CUSIP: 3622A2EJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4655531 | PA      | $4414544.42    | 0.26%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 12/15/2040#757039                                               | CUSIP: 36230RZC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     276986 | PA      | $269472.76     | 0.02%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 04/46#AS9198                                                    | CUSIP: 36193VGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1830525 | PA      | $1710735.38    | 0.10%             | 2046-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 03/20/2042#AA0595                                                 | CUSIP: 36177WUU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     578134 | PA      | $559866.25     | 0.03%             | 2042-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 01/20/2042#AA0228                                                 | CUSIP: 36177WHD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3243841 | PA      | $3143643.25    | 0.18%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 01/20/2042#AA0446                                                 | CUSIP: 36177WP79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79111 | PA      | $76596.24      | 0.00%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.75% 04/46#AS8099                                                   | CUSIP: 36193T7L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     473907 | PA      | $450428.20     | 0.03%             | 2046-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4% 05/46#MA3664                                                      | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3555866 | PA      | $3434775.16    | 0.20%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.75% 10/20/2041#778361                                              | CUSIP: 36176WQN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     846301 | PA      | $806233.89     | 0.05%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.74% 07/42#AB1375                                                   | CUSIP: 36178LQ48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     205593 | PA      | $195318.40     | 0.01%             | 2042-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 08/15/2041#768109                                               | CUSIP: 36176KDN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26277 | PA      | $25585.54      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 03/15/2041#769036                                               | CUSIP: 36176LEH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13985 | PA      | $13569.30      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 10/15/2041#775540                                               | CUSIP: 36176TLV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63481 | PA      | $61540.55      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 12/15/2041#792596                                               | CUSIP: 36177L3E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7338 | PA      | $7126.51       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 04/15/2042#792254                                               | CUSIP: 36177LQG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42423 | PA      | $41139.96      | 0.00%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 01/15/2042#794559                                               | CUSIP: 36177PB53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18775 | PA      | $18219.64      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 03/15/2042#796180                                               | CUSIP: 36177Q2N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34705 | PA      | $33632.81      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 06/15/2042#799330                                               | CUSIP: 36177ULL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29482 | PA      | $28542.46      | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 05/15/2042#AA1859                                               | CUSIP: 36177YB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4350 | PA      | $4323.36       | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 12/15/2042#AB8144                                               | CUSIP: 36178VBM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16754 | PA      | $16255.82      | 0.00%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 11/15/2042#AB9201                                               | CUSIP: 36178WGJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22732 | PA      | $22033.42      | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 01/15/2043#AC9441                                               | CUSIP: 36179KP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66783 | PA      | $64698.60      | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 08/15/2043#AD5682                                               | CUSIP: 36180HJ33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20432 | PA      | $19730.64      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 04/15/2043#AD7475                                               | CUSIP: 36180KJU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12031 | PA      | $11678.65      | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 03/15/2042#733816                                               | CUSIP: 3620AMGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     243486 | PA      | $236201.57     | 0.01%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 03/15/2041#738107                                               | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21054 | PA      | $20493.20      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 12/20/2044#AK8274                                               | CUSIP: 36183SFP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     464942 | PA      | $434720.83     | 0.03%             | 2044-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5% 08/40#745478                                                      | CUSIP: 3620C1FT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     573701 | PA      | $583443.54     | 0.03%             | 2040-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.75% 05/46#AS8102                                                   | CUSIP: 36193UAB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     785044 | PA      | $742962.03     | 0.04%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 4% 04/20/2040                                 | CUSIP: 38377R4H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    4179692 | PA      | $4111282.40    | 0.24%             | 2040-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2012-103 IL 3% 8/20/27                                                   | CUSIP: 38375GVA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1201862 | PA      | $16241.01      | 0.00%             | 2027-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4.5% 4/40#728850                                                     | CUSIP: 3620AFWK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62200 | PA      | $62084.11      | 0.00%             | 2040-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4.5% 07/40#742183                                                    | CUSIP: 3620AWRC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     120798 | PA      | $120521.77     | 0.01%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2013-182 IQ MTGE 4.5% 12/16/2043                                         | CUSIP: 38378PGF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2113158 | PA      | $371447.76     | 0.02%             | 2043-12-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 3/43#AA6148                                                       | CUSIP: 36178DZM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     194679 | PA      | $179771.19     | 0.01%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2016-12 FA TSFR1M+46.448 1/46                                            | CUSIP: 38379TH85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     594167 | PA      | $585776.66     | 0.03%             | 2046-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 08/20/2046#MA3873                                                 | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10845268 | PA      | $9909953.02    | 0.57%             | 2046-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 02/15/2038#752132                                               | CUSIP: 36230LLM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2070394 | PA      | $1946468.27    | 0.11%             | 2038-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 02/15/2038#752126                                               | CUSIP: 36230LLF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3072423 | PA      | $2888520.09    | 0.17%             | 2038-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 03/15/2038#758865                                               | CUSIP: 36230TZ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     846269 | PA      | $794961.35     | 0.05%             | 2038-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 06/15/2038#758921                                               | CUSIP: 36230T4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     935586 | PA      | $880311.39     | 0.05%             | 2038-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 07/20/2046#MA3802                                                 | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6578891 | PA      | $6011515.95    | 0.35%             | 2046-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 30YR 4.5% 06/20/2040#004709                                             | CUSIP: 36202FGS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68643 | PA      | $67568.35      | 0.00%             | 2040-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.25% 07/46#AS8108                                                   | CUSIP: 36193UAH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118667 | PA      | $109335.38     | 0.01%             | 2046-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 09/20/2046#AT8217                                                 | CUSIP: 36194HDW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3790545 | PA      | $3467194.82    | 0.20%             | 2046-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 07/20/2043#635106                                               | CUSIP: 36291QR30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1184038 | PA      | $1112241.68    | 0.06%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 07/20/2043#635118                                               | CUSIP: 36291QSF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     513626 | PA      | $482493.11     | 0.03%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 10/41#AO9705                                                    | CUSIP: 3617AAYA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     490082 | PA      | $428768.29     | 0.02%             | 2041-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 5.5% 08/20/2033                               | CUSIP: 38374BRW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1595907 | PA      | $1628159.50    | 0.09%             | 2033-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 11/46#MA4126                                                      | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     901977 | PA      | $823624.69     | 0.05%             | 2046-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF TSFR1M+76.448 05/20/2061            | CUSIP: 38375BWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       1357 | PA      | $1360.41       | 0.00%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.75% 11/20/2046#AS8118                                              | CUSIP: 36193UAT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2706674 | PA      | $2557354.36    | 0.15%             | 2046-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 30YR 4.5% 08/20/2040#004767                                             | CUSIP: 36202FJL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11815 | PA      | $11615.58      | 0.00%             | 2040-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 30YR 4.5% 07/20/2041#005118                                             | CUSIP: 36202FVK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52204 | PA      | $51311.00      | 0.00%             | 2041-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 3.347% 11/25/2026                             | CUSIP: 3137BTUM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18064046 | PA      | $17976934.10   | 1.04%             | 2026-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNMA 2017-H06 FA T1Y+35 08/66                                                | CUSIP: 38376RV60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     736275 | PA      | $735456.03     | 0.04%             | 2066-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 3.43% 01/25/2027                              | CUSIP: 3137BVZ82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1294177 | PA      | $1288645.84    | 0.07%             | 2027-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 12/20/2040#759375                                                 | CUSIP: 36230UMY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123705 | PA      | $120153.68     | 0.01%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4% 03/20/2047#MA4322                                                 | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2178753 | PA      | $2108786.46    | 0.12%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 03/20/2047#MA4319                                               | CUSIP: 36179SYQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5807005 | PA      | $5102489.39    | 0.30%             | 2047-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2016-146 AL VAR 5/20/40                                                  | CUSIP: 38380AT31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1540138 | PA      | $1581226.57    | 0.09%             | 2040-05-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2010-160 DY 4% 12/20/2040                                                | CUSIP: 38377RLW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   10978919 | PA      | $10788721.63   | 0.62%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2010-170 B 4% 12/40                                                      | CUSIP: 38377NRP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1725382 | PA      | $1695130.36    | 0.10%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 04/20/2047#784303                                                 | CUSIP: 3622A2X80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2880183 | PA      | $2768790.29    | 0.16%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 04/47#784304                                                      | CUSIP: 3622A2X98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3188684 | PA      | $3065360.37    | 0.18%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2017-75 PT VAR 05/47                                                     | CUSIP: 38376UK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    5561097 | PA      | $5700375.53    | 0.33%             | 2047-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNMA 13-149 MA 2.5% 5/20/40                                                  | CUSIP: 38378UQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2724818 | PA      | $2698805.71    | 0.16%             | 2040-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 03/20/2043#AA6143                                               | CUSIP: 36178DZG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     684327 | PA      | $644226.76     | 0.04%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 04/20/2043#AD9075                                               | CUSIP: 36180NCL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1152201 | PA      | $1085214.28    | 0.06%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 03/20/2043#AD8884                                               | CUSIP: 36180M2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1064085 | PA      | $1003820.98    | 0.06%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.15% 02/15/2036#652932                                            | CUSIP: 36292MLM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80491 | PA      | $82223.84      | 0.00%             | 2036-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.2% 07/15/2036#662818                                             | CUSIP: 36294XK70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37770 | PA      | $38591.57      | 0.00%             | 2036-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.25% 05/15/2036#656579                                            | CUSIP: 36294QM40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72187 | PA      | $73783.21      | 0.00%             | 2036-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.25% 04/15/2036#653227                                            | CUSIP: 36292MVU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36018 | PA      | $36870.25      | 0.00%             | 2036-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.39% 05/15/2036#656597                                            | CUSIP: 36294QNN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38405 | PA      | $39549.19      | 0.00%             | 2036-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.6% 11/15/2036#662881                                             | CUSIP: 36294XM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112350 | PA      | $115696.22     | 0.01%             | 2036-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.45% 02/15/2037#662965                                            | CUSIP: 36294XQS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106750 | PA      | $110054.43     | 0.01%             | 2037-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.45% 02/15/2037#662944                                            | CUSIP: 36294XP59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     242387 | PA      | $250041.14     | 0.01%             | 2037-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 06/15/2042#AB1293                                               | CUSIP: 36178LNJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70016 | PA      | $64364.69      | 0.00%             | 2042-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 01/45#AK6717                                                    | CUSIP: 36183QPA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     390270 | PA      | $356244.55     | 0.02%             | 2045-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 06/15/2045#AN1600                                               | CUSIP: 36185GX59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4243 | PA      | $3850.99       | 0.00%             | 2045-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 04/45#777596                                                    | CUSIP: 36176VUV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     939405 | PA      | $855036.24     | 0.05%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 01/45#669957                                                    | CUSIP: 36295GJA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8769 | PA      | $7990.12       | 0.00%             | 2045-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 03/43#666341                                                    | CUSIP: 36295CHS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69350 | PA      | $63899.24      | 0.00%             | 2043-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 04/15/2045#AM8645                                               | CUSIP: 36185BTA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     444065 | PA      | $403467.72     | 0.02%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 01/15/2043#AA6006                                               | CUSIP: 36178DU74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     121236 | PA      | $111749.94     | 0.01%             | 2043-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 04/15/2042#794596                                               | CUSIP: 36177PDA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35927 | PA      | $33284.79      | 0.00%             | 2042-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 06/15/2042#AA0540                                               | CUSIP: 36177WS50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72662 | PA      | $67146.43      | 0.00%             | 2042-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 04/15/2045#AM0472                                               | CUSIP: 36184KQZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     547930 | PA      | $499435.83     | 0.03%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 05/15/2043#AD1000                                               | CUSIP: 36180CDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70134 | PA      | $64597.13      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 05/15/2045#AM8643                                               | CUSIP: 36185BS80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16038 | PA      | $14572.15      | 0.00%             | 2045-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 11/15/2042#AA3605                                               | CUSIP: 36178BAE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66432 | PA      | $61163.83      | 0.00%             | 2042-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 12/15/2042#AA5898                                               | CUSIP: 36178DRT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     226681 | PA      | $209350.51     | 0.01%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 07/15/2043#763854                                               | CUSIP: 36176EMB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     110790 | PA      | $101808.95     | 0.01%             | 2043-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 10/15/2043#711811                                               | CUSIP: 36297GYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89865 | PA      | $82770.04      | 0.00%             | 2043-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 06/15/2043#666372                                               | CUSIP: 36295CJR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50592 | PA      | $46508.67      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 11/15/2042#AA2097                                               | CUSIP: 36177YKJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24012 | PA      | $22362.55      | 0.00%             | 2042-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 07/15/2042#769734                                               | CUSIP: 36176L4T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     109764 | PA      | $101020.45     | 0.01%             | 2042-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 01/15/2045#AK6719                                             | CUSIP: 36183QPC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     193721 | PA      | $182878.08     | 0.01%             | 2045-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 06/15/2044#AE8417                                             | CUSIP: 36181CK64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     434677 | PA      | $406721.64     | 0.02%             | 2044-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 10/41#773500                                                    | CUSIP: 36176RDD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     593034 | PA      | $576946.89     | 0.03%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 12/15/2042#AC3746                                               | CUSIP: 36179DET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     274496 | PA      | $267230.19     | 0.02%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 01/41#755958                                                    | CUSIP: 36230QTP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     231716 | PA      | $225243.03     | 0.01%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 11/40#751877                                                    | CUSIP: 36230LCN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     266021 | PA      | $259066.79     | 0.02%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 10/40#747856                                                    | CUSIP: 3620C3ZV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60289 | PA      | $58565.76      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 09/15/2040#733312                                               | CUSIP: 3620ALVD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     125315 | PA      | $122039.19     | 0.01%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 01/41#690662                                                    | CUSIP: 36296GJF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50414 | PA      | $49129.92      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 11/15/2040#747894                                               | CUSIP: 3620C33B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     167016 | PA      | $162403.84     | 0.01%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 11/15/2042#AA4350                                               | CUSIP: 36178BZP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137072 | PA      | $133016.20     | 0.01%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 01/41#742244                                                    | CUSIP: 3620AWS92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     160825 | PA      | $156462.09     | 0.01%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 01/15/2042#754537                                               | CUSIP: 36230PBE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     300662 | PA      | $292262.33     | 0.02%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 02/15/2041#757557                                               | CUSIP: 36230SME1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14638 | PA      | $14287.03      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 01/41#719486                                                    | CUSIP: 3620A5J75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18419 | PA      | $17946.23      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 08/15/2041#772041                                               | CUSIP: 36176PP26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     696320 | PA      | $676867.30     | 0.04%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 08/41#738637                                                    | CUSIP: 3620ASS26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1823189 | PA      | $1770761.79    | 0.10%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 03/15/2044#AH2728                                               | CUSIP: 36182KA58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     348619 | PA      | $337348.99     | 0.02%             | 2044-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 10/40#737523                                                    | CUSIP: 3620ARLC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     365179 | PA      | $355452.22     | 0.02%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 02/15/2041#759207                                               | CUSIP: 36230UGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     372305 | PA      | $362327.79     | 0.02%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 09/41#738705                                                    | CUSIP: 3620ASU64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     222278 | PA      | $216541.16     | 0.01%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 09/15/2041#469932                                               | CUSIP: 36209FA90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     282460 | PA      | $274568.78     | 0.02%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 01/41#759075                                                    | CUSIP: 36230UCL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     168678 | PA      | $164102.41     | 0.01%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 01/42#767581                                                    | CUSIP: 36176JRA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170752 | PA      | $165926.53     | 0.01%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 12/40#753312                                                    | CUSIP: 36230MVD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     184131 | PA      | $178897.46     | 0.01%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 07/41#738540                                                    | CUSIP: 3620ASPZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     101706 | PA      | $98930.73      | 0.01%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 08/41#764892                                                    | CUSIP: 36176FRM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      98163 | PA      | $95339.79      | 0.01%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 01/15/2041#755959                                               | CUSIP: 36230QTQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     131214 | PA      | $127676.12     | 0.01%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 02/15/41#757555                                                 | CUSIP: 36230SMC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25278 | PA      | $24629.91      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 03/15/2041#738104                                               | CUSIP: 3620ASAD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1067799 | PA      | $1038312.78    | 0.06%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 03/20/2043#AA6146                                                 | CUSIP: 36178DZK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8289580 | PA      | $7649096.85    | 0.44%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 03/20/2043#AD8812                                                 | CUSIP: 36180MYH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3423620 | PA      | $3161520.79    | 0.18%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 03/20/2043#AA6141                                               | CUSIP: 36178DZE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1114358 | PA      | $1052046.88    | 0.06%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 02/20/2043#AD1755                                               | CUSIP: 36180C5Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2641659 | PA      | $2493945.89    | 0.14%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.75% 07/20/2047#AY2386                                              | CUSIP: 36196RUK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     206507 | PA      | $194792.34     | 0.01%             | 2047-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2015-24 PI 3.5% 2/45                                                     | CUSIP: 38379JUM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    6451894 | PA      | $999853.24     | 0.06%             | 2045-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 11/20/2047#784391                                               | CUSIP: 3622A22Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   65757667 | PA      | $61579826.18   | 3.57%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 2014-5 A 3% 01/20/2044                        | CUSIP: 38376MAY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1336443 | PA      | $1245291.93    | 0.07%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2014-25 HC 3% 2/44                                                       | CUSIP: 38379AEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1655693 | PA      | $1526329.73    | 0.09%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 2014-2 BA 3% 01/20/2044                       | CUSIP: 38378YG78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2544757 | PA      | $2370954.39    | 0.14%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 3% 02/20/2044                                 | CUSIP: 38378Y2R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     976681 | PA      | $911273.06     | 0.05%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2017-134 BA 2.5% 11/46                                                   | CUSIP: 38380GF25<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     308241 | PA      | $284392.46     | 0.02%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 07/20/2048#MA5332                                                 | CUSIP: 36179T4R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1520075 | PA      | $1550384.27    | 0.09%             | 2048-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 17-186 HK 3% 11/16/2045                       | CUSIP: 38380T6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    4922691 | PA      | $4596013.64    | 0.27%             | 2045-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GOVERNMENT NAT MTG ASSN HECM 2018-H12 HA 3.25% 08/20/2068                    | CUSIP: 38380LGR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6698557 | PA      | $6572582.72    | 0.38%             | 2068-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4.5% 09/20/2040#783111                                               | CUSIP: 36241LN44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1719158 | PA      | $1722112.54    | 0.10%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 2017-139 K 3% 08/20/2047                      | CUSIP: 38380HGU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   10374947 | PA      | $9688686.84    | 0.56%             | 2047-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 5% 08/20/2045                                 | CUSIP: 38379MN91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    4601497 | PA      | $901389.97     | 0.05%             | 2045-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 2015-14 IO 5% 10/20/2044                      | CUSIP: 38379H6V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    5263237 | PA      | $1055424.78    | 0.06%             | 2044-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 5% 10/20/2044                                 | CUSIP: 38379GTZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    3883667 | PA      | $801201.58     | 0.05%             | 2044-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 2014-178 IO 5% 11/20/2044                     | CUSIP: 38379HDY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    4858841 | PA      | $986796.60     | 0.06%             | 2044-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 5% 10/20/2044                                 | CUSIP: 38379GXL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    3421958 | PA      | $718441.43     | 0.04%             | 2044-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 5% 09/20/2044                                 | CUSIP: 38379GQZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2028109 | PA      | $402025.85     | 0.02%             | 2044-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 2014-154 IO 5% 10/20/2044                     | CUSIP: 38379GH34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     782119 | PA      | $159997.32     | 0.01%             | 2044-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 2016-171 BI 5% 10/20/2044                     | CUSIP: 38380TEZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    4736989 | PA      | $945819.81     | 0.05%             | 2044-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 2015-79 IC 5% 05/20/2045                      | CUSIP: 38379L3U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2518657 | PA      | $503217.59     | 0.03%             | 2045-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 08/20/2040#742211                                              | CUSIP: 3620AWR85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     551442 | PA      | $572606.07     | 0.03%             | 2040-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 07/20/2040#742057                                              | CUSIP: 3620AWME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122762 | PA      | $127367.41     | 0.01%             | 2040-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 04/40#728862                                                   | CUSIP: 3620AFWX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60049 | PA      | $61947.38      | 0.00%             | 2040-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 07/20/2040#742144                                              | CUSIP: 3620AWP53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     174770 | PA      | $181546.99     | 0.01%             | 2040-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 06/20/2040#745408                                              | CUSIP: 3620C1DM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     183537 | PA      | $190558.99     | 0.01%             | 2040-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 12/20/2039#736455                                              | CUSIP: 3620AQE41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88010 | PA      | $91398.71      | 0.01%             | 2039-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 06/20/2040#742314                                              | CUSIP: 3620AWVF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      98597 | PA      | $102350.51     | 0.01%             | 2040-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 04/40#741925                                                   | CUSIP: 3620AWHA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75737 | PA      | $78578.09      | 0.00%             | 2040-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 04/20/2040#728882                                              | CUSIP: 3620AFXK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     125467 | PA      | $130311.77     | 0.01%             | 2040-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 12/20/2039#729078                                              | CUSIP: 3620AF6P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     204830 | PA      | $212513.28     | 0.01%             | 2039-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 12/20/2039#729151                                              | CUSIP: 3620AGBU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78870 | PA      | $81845.80      | 0.00%             | 2039-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 08/20/2040#742163                                              | CUSIP: 3620AWQQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     338390 | PA      | $351249.12     | 0.02%             | 2040-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 02/20/2040#729195                                              | CUSIP: 3620AGC86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     183606 | PA      | $190583.29     | 0.01%             | 2040-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 01/40#729150                                                   | CUSIP: 3620AGBT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     241709 | PA      | $250955.70     | 0.01%             | 2040-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 02/20/2040#736452                                              | CUSIP: 3620AQEZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     224488 | PA      | $233032.93     | 0.01%             | 2040-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 09/20/2040#748801                                              | CUSIP: 3620C43J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     210094 | PA      | $218105.16     | 0.01%             | 2040-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 04/20/2040#742038                                              | CUSIP: 3620AWLT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     107657 | PA      | $111826.41     | 0.01%             | 2040-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 05/20/2040#742212                                              | CUSIP: 3620AWR93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70861 | PA      | $73593.16      | 0.00%             | 2040-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 12/20/2039#729169                                              | CUSIP: 3620AGCE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     116575 | PA      | $121012.87     | 0.01%             | 2039-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 11/20/2039#726716                                              | CUSIP: 3620ADK50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     116588 | PA      | $120702.53     | 0.01%             | 2039-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 09/20/2040#748814                                              | CUSIP: 3620C43X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     142228 | PA      | $147719.42     | 0.01%             | 2040-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 09/20/2039#                                                    | CUSIP: 3620ADK68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91802 | PA      | $95277.82      | 0.01%             | 2039-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 08/20/2040#742188                                              | CUSIP: 3620AWRH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     381913 | PA      | $396681.89     | 0.02%             | 2040-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 11/20/2039#729048                                              | CUSIP: 3620AF5H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     225509 | PA      | $234108.03     | 0.01%             | 2039-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 06/20/2040#745384                                              | CUSIP: 3620C1CV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62367 | PA      | $64785.32      | 0.00%             | 2040-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 03/40#742039                                                   | CUSIP: 3620AWLU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     129516 | PA      | $134523.97     | 0.01%             | 2040-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 03/20/2040#736496                                              | CUSIP: 3620AQGD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136936 | PA      | $142166.62     | 0.01%             | 2040-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 09/20/2040#748826                                              | CUSIP: 3620C44K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84397 | PA      | $87563.15      | 0.01%             | 2040-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 01/20/2040#729198                                              | CUSIP: 3620AGDB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     177916 | PA      | $184711.17     | 0.01%             | 2040-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 04/20/2048#BG3507                                                 | CUSIP: 3617GM3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     863159 | PA      | $829236.61     | 0.05%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 04/20/2048#BG7744                                                 | CUSIP: 3617GSS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     979767 | PA      | $941261.37     | 0.05%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                 | CUSIP: 38380HC42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2133367 | PA      | $1946706.49    | 0.11%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 3% 04/20/2047                                 | CUSIP: 38380UVE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1925961 | PA      | $1820091.39    | 0.11%             | 2047-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 3% 10/20/2047                                 | CUSIP: 38380UAT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1708798 | PA      | $1565944.01    | 0.09%             | 2047-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 30YR 4% 02/20/2041#005044                                               | CUSIP: 36202FS98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     372931 | PA      | $356756.92     | 0.02%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 01/20/2049#BJ9832                                                 | CUSIP: 3617HX4R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     792736 | PA      | $758855.87     | 0.04%             | 2049-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 3% 04/01/2034#G16829                                               | CUSIP: 3128MFY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     191184 | PA      | $186185.73     | 0.01%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 06/20/2044#MA1995                                               | CUSIP: 36179QGC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7604709 | PA      | $7179049.08    | 0.42%             | 2044-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046                      | CUSIP: 38379WN73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     747337 | PA      | $699738.20     | 0.04%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 15YR 2.5% 03/15/2028#AA6170                                             | CUSIP: 36178D2B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     470221 | PA      | $464664.03     | 0.03%             | 2028-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 15YR 2.5% 04/15/2028#AA6257                                             | CUSIP: 36178D5S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     756450 | PA      | $747259.24     | 0.04%             | 2028-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 15YR 2.5% 03/15/2028#AA8397                                             | CUSIP: 36178GKJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     891007 | PA      | $880477.45     | 0.05%             | 2028-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                 | CUSIP: 38380HES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    3683796 | PA      | $3360526.05    | 0.19%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5% 04/48#784805                                                      | CUSIP: 3622AAGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1981580 | PA      | $2017958.89    | 0.12%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NATL MTG AS GTD RE PTT 3.5% 11/25/2046                               | CUSIP: 3136AUEL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    3291064 | PA      | $525935.36     | 0.03%             | 2046-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 4% 02/25/2046                                 | CUSIP: 3136ARFE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   11996097 | PA      | $2289734.71    | 0.13%             | 2046-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 10/49#BQ0779                                                    | CUSIP: 3617LJ2L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9477554 | PA      | $8639089.27    | 0.50%             | 2049-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 11/20/2049#BL1666                                               | CUSIP: 3617JDZ77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     195145 | PA      | $182442.23     | 0.01%             | 2049-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 11/20/2049#BL1665                                               | CUSIP: 3617JDZ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61733 | PA      | $57598.73      | 0.00%             | 2049-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 01/20/2048#784850                                               | CUSIP: 3622AAH31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1139881 | PA      | $1066197.15    | 0.06%             | 2048-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 11/20/2049#BL1670                                                 | CUSIP: 3617JD2B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     404278 | PA      | $365495.70     | 0.02%             | 2049-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 09/20/2049#BN2661                                               | CUSIP: 3617K55W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1283812 | PA      | $1176329.49    | 0.07%             | 2049-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 10/20/2049#BQ4138                                               | CUSIP: 3617LNS39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     649272 | PA      | $597065.00     | 0.03%             | 2049-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 01/20/2050#BR8998                                                 | CUSIP: 3617M77K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66245 | PA      | $59890.22      | 0.00%             | 2050-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 01/20/2050#BR8999                                                 | CUSIP: 3617M77L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49581 | PA      | $44840.54      | 0.00%             | 2050-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 01/20/2050#BR8994                                               | CUSIP: 3617M77F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13396 | PA      | $12510.32      | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 01/20/2050#BR8993                                               | CUSIP: 3617M77E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79217 | PA      | $73911.40      | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 01/20/2050#BR8996                                               | CUSIP: 3617M77H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47989 | PA      | $44924.93      | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 01/20/2050#BR8995                                               | CUSIP: 3617M77G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46726 | PA      | $43698.73      | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 02/20/2050#BQ4127                                                 | CUSIP: 3617LNSQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2439609 | PA      | $2204816.93    | 0.13%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 03/20/2050#MA6541                                                 | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3510367 | PA      | $3175814.15    | 0.18%             | 2050-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 01/20/2050#BR8989                                                 | CUSIP: 3617M77A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     584178 | PA      | $559941.80     | 0.03%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 03/20/2047#784299                                                 | CUSIP: 3622A2X49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     298273 | PA      | $288695.01     | 0.02%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 03/20/2050#MA6540                                               | CUSIP: 36179VHR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16921523 | PA      | $14703348.05   | 0.85%             | 2050-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 04/20/2050#MA6598                                               | CUSIP: 36179VKK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   80366282 | PA      | $69831387.47   | 4.04%             | 2050-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.375% 05/20/2050#BQ7081                                             | CUSIP: 3617LR2N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1094454 | PA      | $934206.28     | 0.05%             | 2050-05-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.625% 05/20/2050#BQ7080                                             | CUSIP: 3617LR2M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2745840 | PA      | $2385212.21    | 0.14%             | 2050-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 05/20/2050#BQ7077                                                 | CUSIP: 3617LR2J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1722033 | PA      | $1554148.79    | 0.09%             | 2050-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.375% 05/20/2050#BQ7075                                             | CUSIP: 3617LR2G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     280961 | PA      | $256416.37     | 0.01%             | 2050-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 05/20/2050#BQ7079                                               | CUSIP: 3617LR2L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1760986 | PA      | $1514186.11    | 0.09%             | 2050-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.25% 05/20/2050#BQ7082                                              | CUSIP: 3617LR2P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1368985 | PA      | $1156462.26    | 0.07%             | 2050-05-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.75% 05/20/2050#BQ7078                                              | CUSIP: 3617LR2K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     356301 | PA      | $314577.37     | 0.02%             | 2050-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 06/20/2050#MA6710                                                 | CUSIP: 36179VN30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33852 | PA      | $30604.70      | 0.00%             | 2050-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 06/20/2050#BV5270                                                 | CUSIP: 3617NJ2B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3657306 | PA      | $3300748.86    | 0.19%             | 2050-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+56.448 04/20/2049                      | CUSIP: 38381TH99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    4102686 | PA      | $4064752.29    | 0.24%             | 2049-04-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 07/20/2050#BV5269                                                 | CUSIP: 3617NJ2A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2781975 | PA      | $2510755.31    | 0.15%             | 2050-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 07/20/2050#BV5275                                                 | CUSIP: 3617NJ2G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2871327 | PA      | $2593190.90    | 0.15%             | 2050-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 07/50#BV5263                                                      | CUSIP: 3617NJZ46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2478369 | PA      | $2236748.32    | 0.13%             | 2050-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 05/20/2050#BT6874                                               | CUSIP: 3617MVT70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2473758 | PA      | $2301902.36    | 0.13%             | 2050-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 11/20/2050#MA6994                                                 | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22295519 | PA      | $18560553.43   | 1.07%             | 2050-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 10/20/2050#MA6930                                                 | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42335491 | PA      | $35235473.67   | 2.04%             | 2050-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 12/20/2050#MA7051                                                 | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14101939 | PA      | $11736263.65   | 0.68%             | 2050-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 12/20/2050#MA7053                                                 | CUSIP: 36179VZS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     450069 | PA      | $406894.36     | 0.02%             | 2050-12-20      | Fixed         | 0.03%                 | 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        |  130591494 | PA      | $108714689.66  | 6.30%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 02/20/2051#MA7192                                                 | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   66132384 | PA      | $55035747.31   | 3.19%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 04/51#MA7311                                                      | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6827947 | PA      | $5681989.26    | 0.33%             | 2051-04-20      | Fixed         | 0.02%                 | 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        |   57324881 | PA      | $47721765.63   | 2.76%             | 2050-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 06/01/2051#                                                     | CUSIP: 3132DWBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60256 | PA      | $53823.41      | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 06/20/2051#MA7418                                               | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7813823 | PA      | $6767563.73    | 0.39%             | 2051-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 05/51#MA7368                                                      | CUSIP: 36179WFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4078740 | PA      | $3683900.29    | 0.21%             | 2051-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 07/20/2051#MA7472                                               | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   45518729 | PA      | $39423839.09   | 2.28%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 07/51#MA7473                                                      | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1370772 | PA      | $1238846.23    | 0.07%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 06/20/2051#MA7419                                                 | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1079504 | PA      | $975104.18     | 0.06%             | 2051-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 08/20/2051#MA7533                                                 | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3821121 | PA      | $3179809.14    | 0.18%             | 2051-08-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 09/20/2051#MA7589                                               | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15656297 | PA      | $13559942.38   | 0.79%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 09/20/2051#MA7590                                                 | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20721 | PA      | $18727.08      | 0.00%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 11/51#MA7705                                                    | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   90475952 | PA      | $78361357.91   | 4.54%             | 2051-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 11/01/2051#BU0529                                               | CUSIP: 3140M1ST2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36019 | PA      | $32207.31      | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 12/20/2051#MA7767                                               | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2479854 | PA      | $2147805.51    | 0.12%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 02/20/2052#MA7880                                                 | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     724928 | PA      | $603600.65     | 0.03%             | 2052-02-20      | Fixed         | 0.02%                 | 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        |     122400 | PA      | $101914.68     | 0.01%             | 2052-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 08/20/2051#MA7535                                                 | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1624431 | PA      | $1468093.15    | 0.09%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 04/20/2052#MA7988                                                 | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26635458 | PA      | $24053285.94   | 1.39%             | 2052-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 04/20/2052#                                                     | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7630437 | PA      | $6611713.48    | 0.38%             | 2052-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 05/20/2052#MA8043                                                 | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35211581 | PA      | $31797997.38   | 1.84%             | 2052-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 02/01/2052#CB2886                                               | CUSIP: 3140QNF49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     192253 | PA      | $172269.25     | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4.5% 11/20/2052#MA8427                                               | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30888281 | PA      | $30382871.63   | 1.76%             | 2052-11-20      | 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        |     959611 | PA      | $969921.86     | 0.06%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 12/01/2051#FM9902                                               | CUSIP: 3140XEAC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     298313 | PA      | $266280.04     | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 10/20/2052#MA8343                                               | CUSIP: 36179XHU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2338269 | PA      | $2035591.19    | 0.12%             | 2052-10-20      | Fixed         | 0.03%                 | 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        |     267059 | PA      | $262887.98     | 0.02%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5.5% 03/01/2053#SD7559                                             | CUSIP: 3132DVMG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1753691 | PA      | $1810973.08    | 0.10%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 12/01/2051#FM9777                                               | CUSIP: 3140XD2K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     546418 | PA      | $489791.76     | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4.5% 04/20/2053#MA8799                                               | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2109700 | PA      | $2073202.49    | 0.12%             | 2053-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 11/01/2041#BT9396                                             | CUSIP: 3140LYNN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387494 | PA      | $349745.59     | 0.02%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 06/01/2041#BR1090                                             | CUSIP: 3140KYF82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     432690 | PA      | $391693.09     | 0.02%             | 2041-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 11/01/2041#QK1203                                             | CUSIP: 3133D4KQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     535689 | PA      | $483476.97     | 0.03%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 04/01/2042#SC0270                                             | CUSIP: 3132D9JP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     363138 | PA      | $326790.93     | 0.02%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                               | CUSIP: 3137H5KC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2859674 | PA      | $2626874.68    | 0.15%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047                                 | CUSIP: 3136BLES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    8156569 | PA      | $7343158.90    | 0.43%             | 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 21-66 DA 2% 01/25/2048                        | CUSIP: 3136BG6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     908721 | PA      | $769703.91     | 0.04%             | 2048-01-25      | Fixed         | 0.02%                 | 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        |     965711 | PA      | $817974.96     | 0.05%             | 2048-01-25      | Fixed         | 0.02%                 | 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        |     795492 | PA      | $711410.59     | 0.04%             | 2048-08-25      | 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        |    1249892 | PA      | $1117014.88    | 0.06%             | 2050-02-25      | Fixed         | 0.03%                 | 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        |     911119 | PA      | $813671.12     | 0.05%             | 2049-05-25      | Fixed         | 0.03%                 | 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        |     715670 | PA      | $638786.68     | 0.04%             | 2047-11-25      | 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 5175 CB 2.5% 04/25/2050                       | CUSIP: 3137H4N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    4541582 | PA      | $3991902.22    | 0.23%             | 2050-04-25      | 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 5180 KA 2.5% 10/25/2047                       | CUSIP: 3137H5BG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     894344 | PA      | $816836.55     | 0.05%             | 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 5191 CA 2.5% 04/25/2050                       | CUSIP: 3137H5MS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1057822 | PA      | $929774.75     | 0.05%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6.5% 09/01/2053#QH0277                                             | CUSIP: 3133CCJW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     217659 | PA      | $229503.71     | 0.01%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6.5% 09/01/2053#QH0300                                             | CUSIP: 3133CCKM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208700 | PA      | $219584.33     | 0.01%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 5% 01/25/2042                                 | CUSIP: 3136A8GS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      17223 | PA      | $17348.87      | 0.00%             | 2042-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 3.5% 04/25/2045                               | CUSIP: 3136AVBQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     124378 | PA      | $122908.33     | 0.01%             | 2045-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 4.5% 04/25/2046                               | CUSIP: 3136AVT90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     304753 | PA      | $303494.41     | 0.02%             | 2046-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 3.5% 08/25/2047                               | CUSIP: 3136AYWR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     288500 | PA      | $287377.95     | 0.02%             | 2047-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 3.5% 03/25/2049                               | CUSIP: 3136B54E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      53557 | PA      | $52595.08      | 0.00%             | 2049-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 4.5% 06/25/2049                               | CUSIP: 3136B7EZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     657671 | PA      | $635910.11     | 0.04%             | 2049-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 3% 10/25/2049                                 | CUSIP: 3136B7UV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     310283 | PA      | $283756.14     | 0.02%             | 2049-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 1% 11/25/2049                                 | CUSIP: 3136BHFA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2758757 | PA      | $2400989.67    | 0.14%             | 2049-11-25      | Fixed         | 0.01%                 | 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        |    2977777 | PA      | $3133083.19    | 0.18%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6.5% 10/01/2053#RJ0001                                             | CUSIP: 3142GQAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2918063 | PA      | $3072990.43    | 0.18%             | 2053-10-01      | Fixed         | 0.07%                 | 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        |    2508282 | PA      | $2283773.80    | 0.13%             | 2041-05-01      | Fixed         | 0.03%                 | 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        |      82048 | PA      | $73966.40      | 0.00%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 05/01/2042#RB0710                                             | CUSIP: 3133KTYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     202342 | PA      | $182336.58     | 0.01%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 02/01/2042#SC0248                                             | CUSIP: 3132D9HZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1179585 | PA      | $1065551.85    | 0.06%             | 2042-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 11/01/2041#SC0210                                             | CUSIP: 3132D9GT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6316958 | PA      | $5712506.81    | 0.33%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 09/20/2051#785619                                               | CUSIP: 3622ABDY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5078108 | PA      | $4369593.03    | 0.25%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 08/20/2051#785564                                               | CUSIP: 3622ABB92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5055102 | PA      | $4349796.78    | 0.25%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 08/20/2051#785602                                               | CUSIP: 3622ABDF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19496928 | PA      | $16776648.63   | 0.97%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 09/20/2051#785616                                               | CUSIP: 3622ABDV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9362154 | PA      | $8055913.46    | 0.47%             | 2051-09-20      | 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        |    2912846 | PA      | $2861089.88    | 0.17%             | 2051-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 3.75% 08/25/2044                              | CUSIP: 3137H7FZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1665292 | PA      | $1621960.10    | 0.09%             | 2044-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 08/20/2051#785575                                               | CUSIP: 3622ABCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3655546 | PA      | $3145511.79    | 0.18%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 12/20/2051#785792                                               | CUSIP: 3622ABKD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4319377 | PA      | $3714022.92    | 0.22%             | 2051-12-20      | Fixed         | 0.03%                 | 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        |    1305218 | PA      | $1351616.75    | 0.08%             | 2053-09-01      | Fixed         | 0.06%                 | 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        |     578170 | PA      | $601413.68     | 0.03%             | 2054-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                   | UNITED STATES TREASURY BOND 4.625% 05/15/2054                                | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6430000 | PA      | $6158734.38    | 0.36%             | 2054-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 06/01/2054#CB8711                                               | CUSIP: 3140QUVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1439198 | PA      | $1479227.79    | 0.09%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6.5% 06/01/2054#CB8729                                             | CUSIP: 3140QUVX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     414141 | PA      | $430369.95     | 0.02%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 2024-K523 AS TSFR1M+55 05/25/2029             | CUSIP: 3137HDJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10586084 | PA      | $10592328.65   | 0.61%             | 2029-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 07/01/2054#CB8850                                               | CUSIP: 3140QUZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4065827 | PA      | $4235773.38    | 0.25%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6.5% 07/01/2054#CB8867                                             | CUSIP: 3140QUZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     562969 | PA      | $593606.52     | 0.03%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6.5% 07/01/2054#CB8875                                             | CUSIP: 3140QU2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     343818 | PA      | $357290.64     | 0.02%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 07/01/2054#CB8857                                               | CUSIP: 3140QUZX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     504388 | PA      | $518417.70     | 0.03%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 03/20/2031#MA3496                                               | CUSIP: 36179R3D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130307 | PA      | $127898.40     | 0.01%             | 2031-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 04/20/2031#MA3572                                               | CUSIP: 36179R6H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     491457 | PA      | $482229.31     | 0.03%             | 2031-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 02/20/2031#MA3428                                               | CUSIP: 36179RYZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65138 | PA      | $63953.75      | 0.00%             | 2031-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 05/20/2031#MA3639                                               | CUSIP: 36179SBG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1052458 | PA      | $1032386.80    | 0.06%             | 2031-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 07/20/2031#MA3778                                               | CUSIP: 36179SFT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13905 | PA      | $13631.66      | 0.00%             | 2031-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 08/20/2031#MA3850                                               | CUSIP: 36179SH34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     162228 | PA      | $158992.19     | 0.01%             | 2031-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 09/20/2031#MA3913                                               | CUSIP: 36179SK22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65040 | PA      | $63723.79      | 0.00%             | 2031-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 10/20/2031#MA3979                                               | CUSIP: 36179SM46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     504119 | PA      | $493772.40     | 0.03%             | 2031-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 11/20/2031#MA4044                                               | CUSIP: 36179SP50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     546930 | PA      | $535388.47     | 0.03%             | 2031-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 12/20/2031#MA4102                                               | CUSIP: 36179SRX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     827719 | PA      | $810493.88     | 0.05%             | 2031-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 01/20/2032#MA4170                                               | CUSIP: 36179ST31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1555788 | PA      | $1522515.11    | 0.09%             | 2032-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                   | UNITED STATES TREASURY BOND 4.625% 11/15/2044                                | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14960000 | PA      | $14596518.68   | 0.85%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.5% 11/20/2054#MB0024                                               | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32192151 | PA      | $31481811.70   | 1.82%             | 2054-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 12/20/2054#MB0091                                                 | CUSIP: 3618N5C56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7142329 | PA      | $7146361.43    | 0.41%             | 2054-12-20      | Fixed         | 0.05%                 | 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        |    4473455 | PA      | $4530359.61    | 0.26%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 12/20/2054#MB0093                                                 | CUSIP: 3618N5C72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7954714 | PA      | $8152631.68    | 0.47%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 01/20/2055#MB0146                                                 | CUSIP: 3618N5EU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   87389510 | PA      | $87438849.80   | 5.06%             | 2055-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA GTD MTG PASS THRU CTF SOFR30A+ 09/25/2054                               | CUSIP: 3136BUW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1142171 | PA      | $1148948.63    | 0.07%             | 2054-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+125 10/25/2054                        | CUSIP: 3137HJQ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1747577 | PA      | $1759837.95    | 0.10%             | 2054-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+120 02/25/2055                        | CUSIP: 3137HJZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     907929 | PA      | $910063.56     | 0.05%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA GTD MTG PASS THRU CTF SOFR30A+115 02/25/2055                            | CUSIP: 3136BUWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1125635 | PA      | $1133313.23    | 0.07%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA GTD MTG PASS THRU CTF SOFR30A+140 02/25/2055                            | CUSIP: 3136BUWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1513567 | PA      | $1527827.42    | 0.09%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA GTD MTG PASS THRU CTF 2025-7 DF SOFR30A+140 09/25/2054                  | CUSIP: 3136BUWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1708845 | PA      | $1722579.61    | 0.10%             | 2054-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA GTD MTG PASS THRU CTF SOFR30A+120 06/25/2054                            | CUSIP: 3136BUGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2091706 | PA      | $2106722.91    | 0.12%             | 2054-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                     | UST NOTES 4.75% 02/15/2045                                                   | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14470000 | PA      | $14335474.15   | 0.83%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                   | USTN TII 2.375% 02/15/2055                                                   | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8530000 | PA      | $8311277.33    | 0.48%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 03/01/2055#CC0116                                               | CUSIP: 3140Y6DW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1756261 | PA      | $1830356.41    | 0.11%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.5% 03/20/2054#787292                                               | CUSIP: 3622AC7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6792587 | PA      | $6971328.85    | 0.40%             | 2054-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 12/20/2054#787741                                               | CUSIP: 3622ADP28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7019053 | PA      | $7223494.61    | 0.42%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 01/20/2055#787767                                               | CUSIP: 3622ADQU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5855472 | PA      | $6002234.40    | 0.35%             | 2055-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                   | UNITED STATES TREASURY BOND 4.75% 05/15/2055                                 | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2000000 | PA      | $1955312.50    | 0.11%             | 2055-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 12/20/2054#787773                                                 | CUSIP: 3622ADQ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7737927 | PA      | $7764059.23    | 0.45%             | 2054-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                   | UNITED STATES TREASURY BOND 5% 05/15/2045                                    | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1430000 | PA      | $1461281.25    | 0.08%             | 2045-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 06/01/2055#CC0577                                               | CUSIP: 3140Y6UB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1488886 | PA      | $1555423.06    | 0.09%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                        | US LONG BOND(CBT) FUT MAR26 USH6                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        149 | NC      | $-221599.16    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                        | US 10YR NOTE FUT (CBT)MAR26 TYH6                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -717 | NC      | $751970.04     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                        | US ULTRA BOND CBT FUT MAR26 WNH6                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -5 | NC      | $9054.40       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                        | US 2YR NOTE (CBT) FUT MAR26 TUH6                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        590 | NC      | $-148753.25    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES TREASURY BOND                                   | UNITED STATES TREASURY BOND 4.75% 08/15/2055                                 | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2210000 | PA      | $2161310.94    | 0.13%             | 2055-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 02/01/2056 #TBA                                                   | CUSIP: 21H020626<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2325000 | PA      | $1934060.09    | 0.11%             | 2056-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 02/01/2056 #TBA                                                   | CUSIP: 21H020626<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -3000000 | PA      | $-2495561.40   | -0.14%            | 2056-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 02/01/2056 #TBA                                                 | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  212550000 | PA      | $214894957.88  | 12.45%            | 2056-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 02/01/2056 #TBA                                                 | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -194075000 | PA      | $-196216132.44 | -11.36%           | 2056-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 02/01/2056 #TBA                                                   | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  258275000 | PA      | $264187069.72  | 15.30%            | 2056-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 02/01/2056 #TBA                                                   | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -258275000 | PA      | $-264187069.72 | -15.30%           | 2056-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 02/01/2056 #TBA                                                 | CUSIP: 21H062628<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   90950000 | PA      | $94078825.52   | 5.45%             | 2056-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 02/01/2056 #TBA                                                 | CUSIP: 21H062628<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -90950000 | PA      | $-94078825.52  | -5.45%            | 2056-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 2% 02/01/2056 #TBA                                                 | CUSIP: 01F020620<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -42400000 | PA      | $-34390377.12  | -1.99%            | 2056-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 2% 02/01/2056 #TBA                                                 | CUSIP: 01F020620<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2600000 | PA      | $2108843.88    | 0.12%             | 2056-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 2.5% 02/01/2056 #TBA                                               | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    9800000 | PA      | $8316601.44    | 0.48%             | 2056-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 2.5% 02/01/2056 #TBA                                               | CUSIP: 01F022626<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -18325000 | PA      | $-15551196.06  | -0.90%            | 2056-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 3% 02/01/2056 #TBA                                                 | CUSIP: 01F030629<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -16950000 | PA      | $-15020613.71  | -0.87%            | 2056-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 3% 02/01/2056 #TBA                                                 | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    8575000 | PA      | $7598924.04    | 0.44%             | 2056-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 4% 02/01/2056 #TBA                                                 | CUSIP: 01F040628<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -46775000 | PA      | $-44651854.69  | -2.59%            | 2056-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 4% 02/01/2056 #TBA                                                 | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   46775000 | PA      | $44651854.69   | 2.59%             | 2056-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 4.5% 02/01/2056 #TBA                                               | CUSIP: 01F042624<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -19800000 | PA      | $-19392399.18  | -1.12%            | 2056-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 4.5% 02/01/2056 #TBA                                               | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   19800000 | PA      | $19392399.18   | 1.12%             | 2056-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 5% 02/01/2056 #TBA                                                 | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   17000000 | PA      | $16996679.90   | 0.98%             | 2056-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 5% 02/01/2056 #TBA                                                 | CUSIP: 01F050627<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -17000000 | PA      | $-16996679.90  | -0.98%            | 2056-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 5.5% 02/01/2056 #TBA                                               | CUSIP: 01F052623<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -42000000 | PA      | $-42598827.60  | -2.47%            | 2056-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 5.5% 02/01/2056 #TBA                                               | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    5800000 | PA      | $5882695.24    | 0.34%             | 2056-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 6.5% 02/01/2056 #TBA                                               | CUSIP: 01F062622<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    8925000 | PA      | $9241907.12    | 0.54%             | 2056-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 03/01/2056 #TBA                                                 | CUSIP: 21H052637<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  146325000 | PA      | $147739275.02  | 8.56%             | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 03/01/2056 #TBA                                                   | CUSIP: 21H060630<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -51600000 | PA      | $-52591690.08  | -3.05%            | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 03/01/2056 #TBA                                                   | CUSIP: 21H060630<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  170925000 | PA      | $174209973.39  | 10.09%            | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 03/01/2056 #TBA                                                 | CUSIP: 21H062636<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   45475000 | PA      | $46993228.35   | 2.72%             | 2056-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 2.5% 03/01/2056 #TBA                                               | CUSIP: 01F022634<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -9800000 | PA      | $-8312390.38   | -0.48%            | 2056-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 3% 03/01/2056 #TBA                                                 | CUSIP: 01F030637<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -8575000 | PA      | $-7593230.24   | -0.44%            | 2056-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 4% 03/01/2056 #TBA                                                 | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3975000 | PA      | $3790534.96    | 0.22%             | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 4% 03/01/2056 #TBA                                                 | CUSIP: 01F040636<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -21400000 | PA      | $-20406905.18  | -1.18%            | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 4.5% 03/01/2056 #TBA                                               | CUSIP: 01F042632<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -19800000 | PA      | $-19369969.74  | -1.12%            | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 5% 03/01/2056 #TBA                                                 | CUSIP: 01F050635<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -17000000 | PA      | $-16972774.50  | -0.98%            | 2056-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 04/01/2056 #TBA                                                   | CUSIP: 21H060648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   51600000 | PA      | $52519125.00   | 3.04%             | 2056-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                   | UNITED STATES TREASURY BOND 4.625% 11/15/2055                                | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2230000 | PA      | $2137315.63    | 0.12%             | 2055-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+51.448 03/20/2044                      | CUSIP: 38383XPB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   38205383 | PA      | $37995401.91   | 2.20%             | 2044-03-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                         | LCH OIS SOFRV3.5% MAC 03/18/28                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -79849000 | NC      | $-27336.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                         | LCH OIS SOFRV4.0% MAC 03/18/56                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    4080000 | NC      | $-28518.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                         | LCH OIS SOFRV4.25% MAC 03/18/46                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     580000 | NC      | $-9438.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                         | LCH OIS SOFRV3.75% MAC 03/18/33                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    6074000 | NC      | $-32475.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                         | LCH OIS SOFRV3.5% MAC 03/18/30                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |       5000 | NC      | $8.07          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                         | LCH OIS SOFRV3.5% MAC 03/18/29                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -121730000 | NC      | $26400.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT K763 A2 VAR 10/25/2032                        | CUSIP: 3137HPET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2800000 | PA      | $2782849.72    | 0.16%             | 2032-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                | CITI SWAP REC 3.828 07/14/26                                                 | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    9100000 | NC      | $115050.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                | CITI SWAP PAY 3.828 07/14/26                                                 | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    9100000 | NC      | $167788.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+52 11/25/2030                         | CUSIP: 3137HPUB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11900000 | PA      | $11899995.24   | 0.69%             | 2030-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                            | JPSW SWAP REC 3.964 01/26/27                                                 | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    7800000 | NC      | $185046.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                            | JPSW SWAP PAY 3.964 01/26/27                                                 | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    7800000 | NC      | $188334.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-02

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer