# EDGAR Filing Document

**Accession Number:** 0000795422
**File Stem:** 0001752724-23-014575
**Filing Date:** 2023-1
**Character Count:** 571002
**Document Hash:** 372fa2d06f46c2b17ee45ff6e7d44782
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-014575.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001752724-23-014575

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230126

**PERIOD START**: 20230831

**FILER**: 

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04707
- **FILM NUMBER:** 23556402

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

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

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

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

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

## Series and Classes Contracts Data

### Fidelity Advisor Mortgage Securities Fund (Series ID: S000005133)

| Class ID   | Class Name                        | Ticker Symbol   |
|:---|:---|:---|
| C000014042 | Class A                           | FMGAX           |
| C000014044 | Class C                           | FOMCX           |
| C000014045 | Class M                           | FMSAX           |
| C000014046 | Class I                           | FMSCX           |
| C000014129 | Fidelity Mortgage Securities Fund | FMSFX           |
| C000204997 | Class Z                           | FIKUX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity Advisor**<sup>®</sup> **Mortgage Securities Fund**

**November 30, 2022**

AMOR-NPRT1-0123

1.813053.118 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government and Government Agency Obligations - 1.2%** | &nbsp;&nbsp;**U.S. Government and Government Agency Obligations - 1.2%** | &nbsp;&nbsp;**U.S. Government and Government Agency Obligations - 1.2%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| U.S. Treasury Obligations - 1.2%  |  |  |
| U.S. Treasury Bonds: |  |  |
|  2% 11/15/41 (b)(c) | 600 | 437 |
|  3.25% 5/15/42 (b)(c)(d) | 2080 | 1868 |
| U.S. Treasury Notes: |  |  |
|  2.75% 8/15/32  | 4835 | 4478 |
|  4.375% 10/31/24  | 5200 | 5199 |
| <br> **TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $12,663) |  | <br> **11982** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 137.8%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 137.8%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 137.8%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| Fannie Mae - 32.3%  |  |  |
| 12 month U.S. LIBOR + 1.440% 1.945% 4/1/37 (e)(f) | 16 | 16 |
| 12 month U.S. LIBOR + 1.460% 3.148% 1/1/35 (e)(f) | 15 | 15 |
| 12 month U.S. LIBOR + 1.530% 1.94% 3/1/36 (e)(f) | 17 | 17 |
| 12 month U.S. LIBOR + 1.550% 3.803% 6/1/36 (e)(f) | 3 | 3 |
| 12 month U.S. LIBOR + 1.630% 2.987% 11/1/36 (e)(f) | 4 | 5 |
| 12 month U.S. LIBOR + 1.640% 3.274% 5/1/36 (e)(f) | 32 | 32 |
| 12 month U.S. LIBOR + 1.710% 3.926% 8/1/35 (e)(f) | 44 | 44 |
| 12 month U.S. LIBOR + 1.730% 2.354% 3/1/40 (e)(f) | 14 | 14 |
| 12 month U.S. LIBOR + 1.730% 3.442% 5/1/36 (e)(f) | 5 | 5 |
| 12 month U.S. LIBOR + 1.750% 2.607% 7/1/35 (e)(f) | 4 | 4 |
| 12 month U.S. LIBOR + 1.750% 4% 8/1/41 (e)(f) | 16 | 16 |
| 12 month U.S. LIBOR + 1.800% 2.055% 1/1/42 (e)(f) | 30 | 30 |
| 12 month U.S. LIBOR + 1.800% 3.724% 12/1/40 (e)(f) | 409 | 413 |
| 12 month U.S. LIBOR + 1.810% 2.304% 2/1/42 (e)(f) | 17 | 17 |
| U.S. TREASURY 1 YEAR INDEX + 2.200% 2.583% 3/1/35 (e)(f) | 4 | 4 |
| U.S. TREASURY 1 YEAR INDEX + 2.270% 4.395% 6/1/36 (e)(f) | 42 | 43 |
| U.S. TREASURY 1 YEAR INDEX + 2.280% 4.408% 10/1/33 (e)(f) | 7 | 7 |
| 1.5% 1/1/36 to 6/1/51  | 12201 | 10173 |
| 2% 10/1/35 to 3/1/52  | 94500 | 78590 |
| 2.5% 5/1/31 to 2/1/52  | 102179 | 89798 |
| 3% 7/1/32 to 2/1/52 (b)(c) | 80324 | 73031 |
| 3.5% 7/1/34 to 1/1/52  | 26054 | 24428 |
| 4% 3/1/39 to 8/1/52  | 9687 | 9352 |
| 4.5% 5/1/25 to 7/1/52  | 13272 | 13150 |
| 5% 8/1/23 to 11/1/52  | 10459 | 10544 |
| 5.264% 8/1/41 (e) | 224 | 226 |
| 5.5% 10/1/52 to 11/1/52  | 7172 | 7268 |
| 6% 11/1/52  | 850 | 868 |
| 6.5% 12/1/23 to 5/1/38  | 147 | 153 |
| 6.666% 2/1/39 (e) | 103 | 105 |
| 7% to 7% 7/1/26 to 5/1/30  | 150 | 155 |
| 7.5% to 7.5% 8/1/25 to 9/1/32  | 169 | 180 |
| 8% 12/1/29 to 3/1/37  | 10 | 11 |
| 8.5% 3/1/23  | 0 | 0 |
| 9% 10/1/30  | 36 | 39 |
| TOTAL FANNIE MAE |  | 318756 |
| Freddie Mac - 23.2%  |  |  |
| 12 month U.S. LIBOR + 1.500% 2.636% 3/1/36 (e)(f) | 44 | 44 |
| 12 month U.S. LIBOR + 1.750% 2.958% 12/1/40 (e)(f) | 162 | 162 |
| 12 month U.S. LIBOR + 1.750% 4% 9/1/41 (e)(f) | 50 | 51 |
| 12 month U.S. LIBOR + 1.900% 3.709% 10/1/42 (e)(f) | 23 | 24 |
| 12 month U.S. LIBOR + 1.960% 3.711% 6/1/33 (e)(f) | 99 | 99 |
| 12 month U.S. LIBOR + 2.040% 4.265% 7/1/36 (e)(f) | 29 | 30 |
| 12 month U.S. LIBOR + 2.200% 2.45% 12/1/36 (e)(f) | 48 | 49 |
| 6 month U.S. LIBOR + 2.020% 3.51% 6/1/37 (e)(f) | 118 | 121 |
| 6 month U.S. LIBOR + 2.680% 4.983% 10/1/35 (e)(f) | 3 | 3 |
| U.S. TREASURY 1 YEAR INDEX + 2.230% 3.356% 5/1/34 (e)(f) | 1 | 1 |
| 1.5% 7/1/35 to 6/1/51  | 4455 | 3577 |
| 2% 4/1/41 to 4/1/52  | 66856 | 55464 |
| 2.5% 6/1/31 to 1/1/52  | 47613 | 41321 |
| 3% 4/1/32 to 3/1/52  | 31858 | 29059 |
| 3.5% 3/1/32 to 4/1/52 (b) | 57452 | 53765 |
| 4% 1/1/36 to 8/1/52  | 29285 | 28255 |
| 4% 4/1/48  | 9 | 9 |
| 4.5% 7/1/25 to 12/1/48  | 5891 | 5857 |
| 5% 7/1/33 to 12/1/52  | 9880 | 9963 |
| 6% 3/1/24 to 9/1/36  | 363 | 376 |
| 6.5% 1/1/24 to 9/1/39  | 325 | 340 |
| 7% 3/1/26 to 9/1/36  | 228 | 240 |
| 7.5% 1/1/27 to 7/1/34  | 370 | 394 |
| TOTAL FREDDIE MAC |  | 229204 |
| Ginnie Mae - 32.9%  |  |  |
| 3% 6/15/42 to 10/20/51  | 26885 | 24449 |
| 3.5% 9/20/40 to 6/20/50  | 45923 | 43130 |
| 4% 7/20/33 to 5/20/49  | 17901 | 17360 |
| 4.5% 8/15/33 to 9/20/46  | 5718 | 5666 |
| 5% 5/15/39 to 4/20/48  | 1625 | 1645 |
| 5.5% 12/15/38 to 9/15/39  | 152 | 158 |
| 6.5% 10/15/34 to 7/15/36  | 54 | 57 |
| 7% to 7% 2/15/24 to 4/20/32  | 179 | 187 |
| 7.5% to 7.5% 8/15/23 to 12/15/29  | 35 | 37 |
| 8% 4/15/24 to 10/15/25  | 11 | 11 |
| 8.5% 11/15/27 to 10/15/28  | 14 | 15 |
| 2% 1/20/51 to 4/20/51  | 4661 | 3981 |
| 2% 12/1/52 (g) | 10450 | 8873 |
| 2% 12/1/52 (g) | 20800 | 17661 |
| 2% 12/1/52 (g) | 9950 | 8449 |
| 2% 12/1/52 (g) | 5000 | 4246 |
| 2% 12/1/52 (g) | 6350 | 5392 |
| 2% 12/1/52 (g) | 9850 | 8364 |
| 2% 12/1/52 (g) | 5400 | 4585 |
| 2% 1/1/53 (g) | 7500 | 6374 |
| 2% 1/1/53 (g) | 6350 | 5397 |
| 2% 1/1/53 (g) | 15200 | 12918 |
| 2% 1/1/53 (g) | 5100 | 4334 |
| 2% 1/1/53 (g) | 5050 | 4292 |
| 2% 1/1/53 (g) | 5250 | 4462 |
| 2% 1/1/53 (g) | 10300 | 8754 |
| 2.5% 7/20/51 to 12/20/51  | 8927 | 7872 |
| 2.5% 12/1/52 (g) | 10000 | 8774 |
| 2.5% 12/1/52 (g) | 19950 | 17504 |
| 2.5% 12/1/52 (g) | 4150 | 3641 |
| 2.5% 12/1/52 (g) | 4900 | 4299 |
| 2.5% 12/1/52 (g) | 4950 | 4343 |
| 2.5% 12/1/52 (g) | 10000 | 8774 |
| 2.5% 1/1/53 (g) | 6200 | 5444 |
| 2.5% 1/1/53 (g) | 6300 | 5532 |
| 2.5% 1/1/53 (g) | 10000 | 8781 |
| 2.5% 1/1/53 (g) | 4925 | 4325 |
| 2.5% 1/1/53 (g) | 4950 | 4347 |
| 2.5% 1/1/53 (g) | 10000 | 8781 |
| 3% 12/1/52 (g) | 2400 | 2165 |
| 3% 12/1/52 (g) | 3200 | 2886 |
| 3% 12/1/52 (g) | 4500 | 4059 |
| 3% 12/1/52 (g) | 4800 | 4329 |
| 3% 1/1/53 (g) | 3650 | 3294 |
| 3% 1/1/53 (g) | 6100 | 5506 |
| 3.5% 12/1/52 (g) | 1150 | 1067 |
| 3.5% 12/1/52 (g) | 2450 | 2273 |
| 3.5% 1/1/53 (g) | 2250 | 2088 |
| 4.5% 12/1/52 (g) | 4000 | 3918 |
| TOTAL GINNIE MAE |  | 324799 |
| Uniform Mortgage Backed Securities - 49.4%  |  |  |
| 1.5% 12/1/37 (g) | 6750 | 5899 |
| 1.5% 12/1/37 (g) | 5450 | 4763 |
| 1.5% 12/1/37 (g) | 2750 | 2403 |
| 1.5% 12/1/37 (g) | 2000 | 1748 |
| 1.5% 12/1/37 (g) | 1900 | 1661 |
| 1.5% 1/1/38 (g) | 2700 | 2363 |
| 1.5% 1/1/38 (g) | 10900 | 9541 |
| 1.5% 12/1/52 (g) | 19750 | 15342 |
| 1.5% 12/1/52 (g) | 10000 | 7768 |
| 1.5% 12/1/52 (g) | 1700 | 1321 |
| 1.5% 12/1/52 (g) | 1700 | 1321 |
| 1.5% 1/1/53 (g) | 19700 | 15219 |
| 2% 12/1/37 (g) | 7800 | 7007 |
| 2% 12/1/37 (g) | 16800 | 15092 |
| 2% 12/1/37 (g) | 5600 | 5031 |
| 2% 12/1/37 (g) | 2200 | 1976 |
| 2% 12/1/37 (g) | 1850 | 1662 |
| 2% 1/1/38 (g) | 3250 | 2923 |
| 2% 1/1/38 (g) | 6500 | 5846 |
| 2% 1/1/38 (g) | 10900 | 9804 |
| 2% 12/1/52 (g) | 3000 | 2467 |
| 2% 12/1/52 (g) | 17100 | 14064 |
| 2% 12/1/52 (g) | 17100 | 14064 |
| 2% 12/1/52 (g) | 8550 | 7032 |
| 2% 12/1/52 (g) | 8500 | 6991 |
| 2% 12/1/52 (g) | 8450 | 6950 |
| 2% 12/1/52 (g) | 8975 | 7381 |
| 2% 12/1/52 (g) | 4500 | 3701 |
| 2% 12/1/52 (g) | 4450 | 3660 |
| 2% 12/1/52 (g) | 3350 | 2755 |
| 2% 12/1/52 (g) | 17450 | 14352 |
| 2% 12/1/52 (g) | 14000 | 11514 |
| 2% 1/1/53 (g) | 8600 | 7080 |
| 2% 1/1/53 (g) | 8650 | 7122 |
| 2% 1/1/53 (g) | 17350 | 14284 |
| 2% 1/1/53 (g) | 4350 | 3581 |
| 2% 1/1/53 (g) | 4350 | 3581 |
| 2% 1/1/53 (g) | 850 | 700 |
| 2% 1/1/53 (g) | 4350 | 3581 |
| 2% 1/1/53 (g) | 17450 | 14367 |
| 2.5% 12/1/37 (g) | 800 | 739 |
| 2.5% 12/1/37 (g) | 1300 | 1201 |
| 2.5% 12/1/37 (g) | 1300 | 1201 |
| 2.5% 12/1/37 (g) | 800 | 739 |
| 2.5% 12/1/52 (g) | 18750 | 16022 |
| 2.5% 12/1/52 (g) | 9350 | 7990 |
| 2.5% 12/1/52 (g) | 9900 | 8460 |
| 2.5% 12/1/52 (g) | 4950 | 4230 |
| 2.5% 12/1/52 (g) | 6600 | 5640 |
| 2.5% 12/1/52 (g) | 2900 | 2478 |
| 2.5% 12/1/52 (g) | 4000 | 3418 |
| 2.5% 12/1/52 (g) | 5050 | 4315 |
| 2.5% 12/1/52 (g) | 4800 | 4102 |
| 2.5% 1/1/53 (g) | 14400 | 12317 |
| 2.5% 1/1/53 (g) | 4800 | 4106 |
| 3% 12/1/52 (g) | 3150 | 2788 |
| 3% 12/1/52 (g) | 3150 | 2788 |
| 3% 12/1/52 (g) | 6500 | 5754 |
| 3% 12/1/52 (g) | 9050 | 8011 |
| 3% 12/1/52 (g) | 6450 | 5710 |
| 3% 12/1/52 (g) | 1800 | 1593 |
| 3% 1/1/53 (g) | 1900 | 1683 |
| 3% 1/1/53 (g) | 3850 | 3410 |
| 3.5% 12/1/52 (g) | 2700 | 2474 |
| 3.5% 12/1/52 (g) | 3200 | 2932 |
| 3.5% 12/1/52 (g) | 4300 | 3940 |
| 3.5% 1/1/53 (g) | 1350 | 1238 |
| 4% 12/1/52 (g) | 16600 | 15708 |
| 4% 12/1/52 (g) | 9050 | 8564 |
| 4% 12/1/52 (g) | 4150 | 3927 |
| 4% 12/1/52 (g) | 3100 | 2933 |
| 4.5% 12/1/52 (g) | 13050 | 12703 |
| 4.5% 12/1/52 (g) | 10000 | 9734 |
| 4.5% 1/1/53 (g) | 10300 | 10026 |
| 5% 12/1/52 (g) | 400 | 398 |
| 5% 12/1/52 (g) | 550 | 548 |
| 5% 12/1/52 (g) | 3450 | 3435 |
| 5% 12/1/52 (g) | 3300 | 3286 |
| 5% 12/1/52 (g) | 950 | 946 |
| 5% 12/1/52 (g) | 4100 | 4082 |
| 5% 12/1/52 (g) | 10500 | 10454 |
| 5.5% 12/1/52 (g) | 5600 | 5664 |
| 5.5% 12/1/52 (g) | 6300 | 6372 |
| 6% 12/1/52 (g) | 2000 | 2046 |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES |  | 488022 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $1,431,085) |  | <br> **1360781** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 0.4%** | &nbsp;&nbsp;**Asset-Backed Securities - 0.4%** | &nbsp;&nbsp;**Asset-Backed Securities - 0.4%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 5.3661% 10/25/37 (e)(f)(h) | 454 | 450 |
| GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (h) | 21 | 16 |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (h) | 1986 | 1627 |
| Towd Point Mortgage Trust Series 2019-1 Class A1, 3.7088% 3/25/58 (e)(h) | 860 | 796 |
| Upstart Securitization Trust: |  |  |
|  Series 2021-1 Class A, 0.87% 3/20/31 (h) | 10 | 10 |
|  Series 2021-2 Class A, 0.91% 6/20/31 (h) | 457 | 448 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $3,786) |  | **3347** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 3.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 3.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 3.1%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| Private Sponsor - 1.4%  |  |  |
| Ajax Mortgage Loan Trust sequential payer: |  |  |
|  Series 2021-C Class A, 2.115% 1/25/61 (h) | 566 | 530 |
|  Series 2021-E Class A1, 1.74% 12/25/60 (h) | 4004 | 3342 |
| Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (e)(h) | 483 | 459 |
| Cascade Funding Mortgage Trust: |  |  |
|  Series 2021-HB5 Class A, 0.8006% 2/25/31 (h) | 513 | 492 |
|  Series 2021-HB6 Class A, 0.8983% 6/25/36 (h) | 624 | 588 |
| CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (h) | 311 | 300 |
| Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (e)(h) | 171 | 166 |
| CSMC: |  |  |
|  floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 4.1456% 5/27/37 (e)(f)(h) | 394 | 382 |
|  Series 2014-3R Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (e)(f)(h)(i) | 142 | 0 |
| CSMC Trust sequential payer Series 2020-RPL4 Class A1, 2% 1/25/60 (h) | 296 | 250 |
| MFA Trust sequential payer Series 2022-RPL1 Class A1, 3.3% 8/25/61 (h) | 2300 | 2076 |
| New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (h) | 779 | 692 |
| NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (h) | 1390 | 1229 |
| Oceanview Trust sequential payer Series 2021-1 Class A, 1.2187% 12/29/51 (e)(h) | 837 | 812 |
| Preston Ridge Partners Mortgage Trust Series 2021-RPL1 Class A1, 1.319% 7/25/51 (h) | 327 | 291 |
| RMF Buyout Issuance Trust: |  |  |
|  sequential payer Series 2021-HB1 Class A, 1.2586% 11/25/31 (h) | 868 | 822 |
|  Series 2020-HB1 Class A1, 1.7188% 10/25/50 (h) | 1336 | 1219 |
| Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 4.6836% 9/25/43 (e)(f) | 675 | 627 |
| Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 4.0735% 9/25/33 (e) | 70 | 67 |
| TOTAL PRIVATE SPONSOR |  | 14344 |
| U.S. Government Agency - 1.7%  |  |  |
| Fannie Mae: |  |  |
|  floater Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 4.0839% 12/25/33 (e)(j)(k) | 69 | 11 |
|  planned amortization class:  |  |  |
| Series 1999-17 Class PG, 6% 4/25/29 <br>| 78 | 79 |
| Series 1999-32 Class PL, 6% 7/25/29 <br>| 92 | 94 |
| Series 1999-33 Class PK, 6% 7/25/29 <br>| 68 | 69 |
| Series 2001-52 Class YZ, 6.5% 10/25/31 <br>| 10 | 11 |
| Series 2005-39 Class TE, 5% 5/25/35 <br>| 154 | 156 |
| Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 7.108% 8/25/35 (e)(k) <br>| 6 | 6 |
| Series 2012-149: <br>|  |  |
| Class DA, 1.75% 1/25/43 <br>| 74 | 68 |
| Class GA, 1.75% 6/25/42 <br>| 80 | 73 |
|  sequential payer:  |  |  |
| Series 2001-20 Class Z, 6% 5/25/31 <br>| 83 | 85 |
| Series 2001-31 Class ZC, 6.5% 7/25/31 <br>| 37 | 37 |
| Series 2002-16 Class ZD, 6.5% 4/25/32 <br>| 18 | 19 |
| Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 3.5339% 11/25/32 (e)(j)(k) <br>| 25 | 1 |
| Series 2012-67 Class AI, 4.5% 7/25/27 (j) <br>| 39 | 1 |
|  Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 2.6239% 12/25/36 (e)(j)(k) | 44 | 6 |
|  Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 2.4239% 5/25/37 (e)(j)(k) | 24 | 3 |
|  Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 8.44% 9/25/23 (e)(k) | 1 | 1 |
|  Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 4.0839% 3/25/33 (e)(j)(k) | 16 | 2 |
|  Series 2005-79 Class ZC, 5.9% 9/25/35  | 142 | 144 |
|  Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 16.5232% 6/25/37 (e)(k) | 84 | 111 |
|  Series 2007-66 Class SB, 39.600% - 1 month U.S. LIBOR 15.5032% 7/25/37 (e)(k) | 21 | 24 |
|  Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 2.3339% 3/25/38 (e)(j)(k) | 122 | 13 |
|  Series 2010-135:  |  |  |
| Class LS, 6.050% - 1 month U.S. LIBOR 2.0339% 12/25/40 (e)(j)(k) <br>| 126 | 11 |
| Class ZA, 4.5% 12/25/40 <br>| 42 | 42 |
|  Series 2010-139 Class NI, 4.5% 2/25/40 (j) | 44 | 1 |
|  Series 2010-150 Class ZC, 4.75% 1/25/41  | 464 | 461 |
|  Series 2010-95 Class ZC, 5% 9/25/40  | 1100 | 1114 |
|  Series 2011-4 Class PZ, 5% 2/25/41  | 152 | 147 |
|  Series 2011-67 Class AI, 4% 7/25/26 (j) | 13 | 0 |
|  Series 2011-83 Class DI, 6% 9/25/26 (j) | 0 | 0 |
|  Series 2012-100 Class WI, 3% 9/25/27 (j) | 229 | 11 |
|  Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 2.6339% 12/25/30 (e)(j)(k) | 30 | 0 |
|  Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 2.5339% 6/25/41 (e)(j)(k) | 21 | 0 |
|  Series 2013-133 Class IB, 3% 4/25/32 (j) | 86 | 3 |
|  Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 2.0339% 1/25/44 (e)(j)(k) | 70 | 8 |
|  Series 2013-51 Class GI, 3% 10/25/32 (j) | 93 | 6 |
|  Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 2.7039% 6/25/35 (e)(j)(k) | 134 | 12 |
|  Series 2015-42 Class IL, 6% 6/25/45 (j) | 491 | 87 |
|  Series 2015-70 Class JC, 3% 10/25/45  | 624 | 591 |
|  Series 2017-30 Class AI, 5.5% 5/25/47 (j) | 292 | 53 |
| Fannie Mae Stripped Mortgage-Backed Securities: |  |  |
|  Series 348 Class 14, 6.5% 8/25/34 (e)(j) | 37 | 7 |
|  Series 351:  |  |  |
| Class 12, 5.5% 4/25/34 (e)(j) <br>| 23 | 4 |
| Class 13, 6% 3/25/34 (j) <br>| 33 | 6 |
|  Series 359 Class 19, 6% 7/25/35 (e)(j) | 20 | 4 |
|  Series 384 Class 6, 5% 7/25/37 (j) | 64 | 11 |
| Freddie Mac: |  |  |
|  planned amortization class:  |  |  |
| Series 2095 Class PE, 6% 11/15/28 <br>| 99 | 101 |
| Series 2104 Class PG, 6% 12/15/28 <br>| 31 | 31 |
| Series 2121 Class MG, 6% 2/15/29 <br>| 40 | 41 |
| Series 2154 Class PT, 6% 5/15/29 <br>| 77 | 79 |
| Series 2162 Class PH, 6% 6/15/29 <br>| 10 | 10 |
| Series 2520 Class BE, 6% 11/15/32 <br>| 72 | 74 |
| Series 2693 Class MD, 5.5% 10/15/33 <br>| 1042 | 1051 |
| Series 2802 Class OB, 6% 5/15/34 <br>| 145 | 148 |
| Series 3002 Class NE, 5% 7/15/35 <br>| 98 | 99 |
| Series 3189 Class PD, 6% 7/15/36 <br>| 85 | 89 |
| Series 3415 Class PC, 5% 12/15/37 <br>| 32 | 32 |
| Series 3806 Class UP, 4.5% 2/15/41 <br>| 187 | 185 |
| Series 3832 Class PE, 5% 3/15/41 <br>| 390 | 392 |
| Series 4135 Class AB, 1.75% 6/15/42 <br>| 59 | 53 |
|  sequential payer:  |  |  |
| Series 2114 Class ZM, 6% 1/15/29 <br>| 14 | 14 |
| Series 2135 Class JE, 6% 3/15/29 <br>| 52 | 53 |
| Series 2274 Class ZM, 6.5% 1/15/31 <br>| 31 | 31 |
| Series 2281 Class ZB, 6% 3/15/30 <br>| 20 | 20 |
| Series 2357 Class ZB, 6.5% 9/15/31 <br>| 64 | 66 |
| Series 2502 Class ZC, 6% 9/15/32 <br>| 57 | 59 |
| Series 3871 Class KB, 5.5% 6/15/41 <br>| 379 | 395 |
|  Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 2.7269% 2/15/36 (e)(j)(k) | 31 | 3 |
|  Series 1658 Class GZ, 7% 1/15/24  | 15 | 15 |
|  Series 2013-4281 Class AI, 4% 12/15/28 (j) | 71 | 2 |
|  Series 2017-4683 Class LM, 3% 5/15/47  | 581 | 551 |
|  Series 2380 Class SY, 8.200% - 1 month U.S. LIBOR 4.3269% 11/15/31 (e)(j)(k) | 138 | 6 |
|  Series 2587 Class IM, 6.5% 3/15/33 (j) | 30 | 5 |
|  Series 2933 Class ZM, 5.75% 2/15/35  | 326 | 336 |
|  Series 2935 Class ZK, 5.5% 2/15/35  | 366 | 377 |
|  Series 2947 Class XZ, 6% 3/15/35  | 173 | 179 |
|  Series 2996 Class ZD, 5.5% 6/15/35  | 221 | 227 |
|  Series 3237 Class C, 5.5% 11/15/36  | 300 | 304 |
|  Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 2.7869% 11/15/36 (e)(j)(k) | 108 | 13 |
|  Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 2.8769% 3/15/37 (e)(j)(k) | 153 | 21 |
|  Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 2.8869% 4/15/37 (e)(j)(k) | 213 | 27 |
|  Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 2.7069% 6/15/37 (e)(j)(k) | 88 | 10 |
|  Series 3949 Class MK, 4.5% 10/15/34  | 69 | 68 |
|  Series 4055 Class BI, 3.5% 5/15/31 (j) | 86 | 3 |
|  Series 4149 Class IO, 3% 1/15/33 (j) | 50 | 4 |
|  Series 4314 Class AI, 5% 3/15/34 (j) | 30 | 1 |
|  Series 4427 Class LI, 3.5% 2/15/34 (j) | 249 | 16 |
|  Series 4471 Class PA 4% 12/15/40  | 380 | 372 |
| Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28  | 37 | 38 |
| Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40  | 786 | 770 |
| Ginnie Mae guaranteed REMIC pass-thru certificates: |  |  |
|  floater:  |  |  |
| Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 2.8034% 6/16/37 (e)(j)(k) <br>| 51 | 6 |
| Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 3.9264% 7/20/60 (e)(f)(l) <br>| 123 | 121 |
| Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 3.4427% 9/20/60 (e)(f)(l) <br>| 159 | 157 |
| Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 3.4427% 8/20/60 (e)(f)(l) <br>| 124 | 122 |
| Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 3.6427% 4/20/61 (e)(f)(l) <br>| 44 | 44 |
| Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 3.7927% 5/20/61 (e)(f)(l) <br>| 4 | 4 |
| Series 2019-11 Class F, 1 month U.S. LIBOR + 0.400% 4.3386% 1/20/49 (e)(f) <br>| 192 | 190 |
| Series 2019-128 Class FH, 1 month U.S. LIBOR + 0.500% 4.4386% 10/20/49 (e)(f) <br>| 295 | 289 |
| Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 4.3886% 2/20/49 (e)(f) <br>| 601 | 594 |
|  planned amortization class:  |  |  |
| Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 2.1229% 12/20/40 (e)(k) <br>| 423 | 366 |
| Series 2011-136 Class WI, 4.5% 5/20/40 (j) <br>| 21 | 1 |
| Series 2016-69 Class WA, 3% 2/20/46 <br>| 242 | 226 |
| Series 2017-134 Class BA, 2.5% 11/20/46 <br>| 91 | 82 |
|  sequential payer:  |  |  |
| Series 2004-24 Class ZM, 5% 4/20/34 <br>| 150 | 148 |
| Series 2010-160 Class DY, 4% 12/20/40 <br>| 787 | 767 |
| Series 2010-170 Class B, 4% 12/20/40 <br>| 175 | 171 |
| Series 2017-139 Class BA, 3% 9/20/47 <br>| 968 | 876 |
|  Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 2.6134% 5/16/34 (e)(j)(k) | 95 | 8 |
|  Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 3.3134% 8/17/34 (e)(j)(k) | 32 | 4 |
|  Series 2011-52 Class HI, 7% 4/16/41 (j) | 375 | 61 |
|  Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 2.8134% 6/16/42 (e)(j)(k) | 173 | 18 |
|  Series 2013-149 Class MA, 2.5% 5/20/40  | 645 | 616 |
|  Series 2015-H13 Class HA, 2.5% 8/20/64 (l) | 11 | 10 |
|  Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 4.42% 8/20/66 (e)(f)(l) | 1628 | 1620 |
| TOTAL U.S. GOVERNMENT AGENCY |  | 16465 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $33,585) |  | <br> **30809** |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 4.1%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 4.1%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 4.1%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| BAMLL Commercial Mortgage Securities Trust: |  |  |
|  sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (h) | 525 | 486 |
|  Series 2019-BPR Class BNM, 3.465% 11/5/32 (h) | 118 | 104 |
| BANK: |  |  |
|  sequential payer Series 2021-BN35 Class A5, 2.285% 6/15/64  | 13 | 10 |
|  Series 2020-BN25 Class XB, 0.5325% 1/15/63 (e)(j) | 14100 | 351 |
|  Series 2021-BN33 Class XA, 1.1716% 5/15/64 (e)(j) | 7318 | 424 |
| Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.9039% 12/15/62 (e)(j) | 26097 | 844 |
| BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 5.925% 11/15/28 (e)(f)(h) | 550 | 542 |
| BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 4.625% 9/15/26 (e)(f)(h) | 1525 | 1435 |
| BPR Trust floater Series 2022-OANA Class A, CME Term SOFR 1 Month Index + 1.890% 5.6923% 4/15/37 (e)(f)(h) | 2106 | 2049 |
| BX Trust floater, sequential payer Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 4.8287% 10/15/36 (e)(f)(h) | 715 | 703 |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB: |  |  |
|  Class A, 1 month U.S. LIBOR + 0.950% 4.8253% 11/15/36 (e)(f)(h) | 390 | 379 |
|  Class B, 1 month U.S. LIBOR + 1.250% 5.1253% 11/15/36 (e)(f)(h) | 500 | 481 |
| CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 4.995% 6/15/34 (e)(f)(h) | 1298 | 1273 |
| Citigroup Commercial Mortgage Trust: |  |  |
|  Series 2015-GC33 Class XA, 1.0252% 9/10/58 (e)(j) | 15891 | 307 |
|  Series 2016-P6 Class XA, 0.7018% 12/10/49 (e)(j) | 12686 | 228 |
|  Series 2019-GC41 Class XA, 1.1693% 8/10/56 (e)(j) | 2955 | 139 |
| COMM Mortgage Trust: |  |  |
|  sequential payer Series 2013-CR7 Class AM, 3.314% 3/10/46 (h) | 304 | 301 |
|  Series 2014-CR20 Class XA, 1.0939% 11/10/47 (e)(j) | 3620 | 51 |
|  Series 2014-LC17 Class XA, 0.8149% 10/10/47 (e)(j) | 10729 | 100 |
|  Series 2014-UBS6 Class XA, 0.9848% 12/10/47 (e)(j) | 8735 | 111 |
| Credit Suisse Mortgage Trust Series 2018-SITE Class A, 4.284% 4/15/36 (h) | 672 | 637 |
| Extended Stay America Trust floater Series 2021-ESH Class A, 1 month U.S. LIBOR + 1.080% 4.956% 7/15/38 (e)(f)(h) | 905 | 870 |
| Freddie Mac Series 2022-K150 Class A2, 3.71% 11/25/32  | 1800 | 1696 |
| GS Mortgage Securities Trust: |  |  |
|  floater:  |  |  |
| Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 5.823% 9/15/31 (e)(f)(h) <br>| 4876 | 4780 |
| Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 4.97% 10/15/31 (e)(f)(h) <br>| 562 | 530 |
| Series 2021-IP Class A, 1 month U.S. LIBOR + 0.950% 4.825% 10/15/36 (e)(f)(h) <br>| 1038 | 966 |
|  Series 2014-GC20 Class XA, 1.1766% 4/10/47 (e)(j) | 3026 | 28 |
|  Series 2015-GC34 Class XA, 1.3589% 10/10/48 (e)(j) | 7784 | 214 |
| Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 6.2826% 8/15/39 (e)(f)(h) | 1654 | 1637 |
| JPMBB Commercial Mortgage Securities Trust: |  |  |
|  Series 2013-C14 Class A/S, 4.4093% 8/15/46  | 700 | 686 |
|  Series 2014-C19 Class XA, 0.7761% 4/15/47 (e)(j) | 2624 | 15 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT: |  |  |
|  Class AFX, 4.2475% 7/5/33 (h) | 899 | 840 |
|  Class XAFX, 1.2948% 7/5/33 (e)(h)(j) | 7720 | 29 |
| LIFE Mortgage Trust floater Series 2021-BMR Class A, 1 month U.S. LIBOR + 0.700% 4.575% 3/15/38 (e)(f)(h) | 1418 | 1363 |
| Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 4.575% 7/15/38 (e)(f)(h) | 673 | 643 |
| MHC Commercial Mortgage Trust floater sequential payer Series 2021-MHC Class A, 1 month U.S. LIBOR + 0.800% 4.676% 4/15/38 (e)(f)(h) | 7000 | 6754 |
| Morgan Stanley BAML Trust Series 2015-C25 Class XA, 1.1949% 10/15/48 (e)(j) | 9271 | 188 |
| Morgan Stanley Capital I Trust: |  |  |
|  floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 4.725% 8/15/33 (e)(f)(h) | 1428 | 1346 |
|  sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (h) | 1140 | 1058 |
|  Series 2019-MEAD Class B, 3.283% 11/10/36 (e)(h) | 165 | 149 |
|  Series 2021-L6 Class XA, 1.3449% 6/15/54 (e)(j) | 2190 | 141 |
| SREIT Trust floater Series 2021-MFP: |  |  |
|  Class A, 1 month U.S. LIBOR + 0.730% 4.6061% 11/15/38 (e)(f)(h) | 1138 | 1087 |
|  Class B, 1 month U.S. LIBOR + 1.070% 4.9551% 11/15/38 (e)(f)(h) | 652 | 618 |
| UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 1.1862% 12/15/50 (e)(j) | 11841 | 421 |
| UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 4.6631% 4/10/46 (e)(f)(h) | 255 | 255 |
| Wells Fargo Commercial Mortgage Trust: |  |  |
|  floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 5.075% 5/15/31 (e)(f)(h) | 925 | 872 |
|  sequential payer Series 2016-LC24 Class A3, 2.684% 10/15/49  | 797 | 725 |
|  Series 2015-C31 Class XA, 1.1084% 11/15/48 (e)(j) | 7941 | 175 |
|  Series 2017-C42 Class XA, 1.0068% 12/15/50 (e)(j) | 15103 | 524 |
|  Series 2018-C46 Class XA, 1.1006% 8/15/51 (e)(j) | 9311 | 256 |
| WF-RBS Commercial Mortgage Trust: |  |  |
|  Series 2014-C24 Class XA, 0.9868% 11/15/47 (e)(j) | 5913 | 73 |
|  Series 2014-LC14 Class XA, 1.416% 3/15/47 (e)(j) | 5372 | 51 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $42,259) |  | **39945** |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 25.4%** | &nbsp;&nbsp;**Money Market Funds - 25.4%** | &nbsp;&nbsp;**Money Market Funds - 25.4%** |
|  | Shares | Value ($)<br> (000s) <br>|
| Fidelity Cash Central Fund 3.86% (m) <br>(Cost $250,981) <br>| 250930981 | **250981** |

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---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 172.0%**<br> (Cost $1,774,359)<br>| <br>**1697845** |
| **NET OTHER ASSETS (LIABILITIES) - (72.0)%**  | **(710610)** |
| **NET ASSETS - 100.0%** | **987235** |

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| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a)<br> (000s) | Value ($) <br>(000s) <br>|
| Ginnie Mae |  |  |
| 2% 12/1/52 | (9850) | (8364) |
| 2% 12/1/52 | (7500) | (6368) |
| 2% 12/1/52 | (6350) | (5392) |
| 2% 12/1/52 | (15200) | (12906) |
| 2% 12/1/52 | (5100) | (4330) |
| 2% 12/1/52 | (5050) | (4288) |
| 2% 12/1/52 | (10300) | (8746) |
| 2% 12/1/52 | (5400) | (4585) |
| 2.5% 12/1/52 | (10000) | (8774) |
| 2.5% 12/1/52 | (4950) | (4343) |
| 2.5% 12/1/52 | (6200) | (5440) |
| 2.5% 12/1/52 | (6300) | (5527) |
| 2.5% 12/1/52 | (10000) | (8774) |
| 2.5% 12/1/52 | (4950) | (4343) |
| 2.5% 12/1/52 | (10000) | (8774) |
| 3% 12/1/52 | (3650) | (3292) |
| 3% 12/1/52 | (6100) | (5502) |
| 3.5% 12/1/52 | (2250) | (2087) |
| TOTAL GINNIE MAE  |  | (111835) |
| Uniform Mortgage Backed Securities |  |  |
| 1.5% 12/1/37 | (2700) | (2360) |
| 1.5% 12/1/37 | (10900) | (9526) |
| 1.5% 12/1/52 | (19700) | (15303) |
| 1.5% 12/1/52 | (1700) | (1321) |
| 2% 12/1/37 | (3250) | (2920) |
| 2% 12/1/37 | (2100) | (1886) |
| 2% 12/1/37 | (1600) | (1437) |
| 2% 12/1/37 | (6500) | (5839) |
| 2% 12/1/37 | (10900) | (9792) |
| 2% 12/1/52 | (14000) | (11514) |
| 2% 12/1/52 | (8600) | (7073) |
| 2% 12/1/52 | (1500) | (1234) |
| 2% 12/1/52 | (3000) | (2467) |
| 2% 12/1/52 | (8650) | (7114) |
| 2% 12/1/52 | (17350) | (14269) |
| 2% 12/1/52 | (4350) | (3578) |
| 2% 12/1/52 | (4350) | (3578) |
| 2% 12/1/52 | (850) | (699) |
| 2% 12/1/52 | (4350) | (3578) |
| 2% 12/1/52 | (17450) | (14352) |
| 2% 12/1/52 | (17450) | (14352) |
| 2.5% 12/1/37 | (800) | (739) |
| 2.5% 12/1/37 | (1300) | (1201) |
| 2.5% 12/1/37 | (2100) | (1940) |
| 2.5% 12/1/52 | (5050) | (4315) |
| 2.5% 12/1/52 | (3200) | (2734) |
| 2.5% 12/1/52 | (14400) | (12305) |
| 2.5% 12/1/52 | (4800) | (4102) |
| 2.5% 12/1/52 | (4800) | (4102) |
| 3% 12/1/52 | (1900) | (1682) |
| 3% 12/1/52 | (3850) | (3408) |
| 3.5% 12/1/52 | (1350) | (1237) |
| 4.5% 12/1/52 | (10300) | (10026) |
| 5% 12/1/52 | (1400) | (1394) |
| 5% 12/1/52 | (3450) | (3435) |
| 5% 12/1/52 | (2450) | (2439) |
| 5% 12/1/52 | (400) | (398) |
| 5% 12/1/52 | (550) | (548) |
| 5% 12/1/52 | (3450) | (3435) |
| 5% 12/1/52 | (3300) | (3286) |
| 5% 12/1/52 | (400) | (398) |
| 5% 12/1/52 | (2200) | (2190) |
| 5.5% 12/1/52 | (900) | (910) |
| 5.5% 12/1/52 | (4200) | (4248) |
| 6% 12/1/52 | (850) | (870) |
| 6% 12/1/52 | (200) | (205) |
| 6% 12/1/52 | (950) | (972) |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES  |  | (206711) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $313,961) |  | <br> **(318546)** |

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br> (000s) <br>| Value ($)<br> (000s) <br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br> (000s) <br>|
| Purchased |  |  |  |  |  |
| Treasury Contracts |  |  |  |  |  |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 277 | Mar 2023 | 56885 | 153 | 153 |
| Sold |  |  |  |  |  |
| Treasury Contracts |  |  |  |  |  |
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 322 | Mar 2023 | 36547 | (292) | (292) |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 103 | Mar 2023 | 11183 | (68) | (68) |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 319 | Mar 2023 | 40513 | (456) | (456) |
| TOTAL SOLD |  |  |  |  | (816) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **(663)** |
| The notional amount of futures purchased as a percentage of Net Assets is 5.8% | The notional amount of futures purchased as a percentage of Net Assets is 5.8% | The notional amount of futures purchased as a percentage of Net Assets is 5.8% | The notional amount of futures purchased as a percentage of Net Assets is 5.8% | The notional amount of futures purchased as a percentage of Net Assets is 5.8% | The notional amount of futures purchased as a percentage of Net Assets is 5.8% |
| The notional amount of futures sold as a percentage of Net Assets is 8.9% | The notional amount of futures sold as a percentage of Net Assets is 8.9% | The notional amount of futures sold as a percentage of Net Assets is 8.9% | The notional amount of futures sold as a percentage of Net Assets is 8.9% | The notional amount of futures sold as a percentage of Net Assets is 8.9% | The notional amount of futures sold as a percentage of Net Assets is 8.9% |

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Maturity <br> Date | Clearinghouse / <br> Counterparty | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount<br> (000s)<sup>(1)</sup> | Value ($)<br> (000s) | Upfront<br> Premium<br> Received/<br> (Paid) ($)<br> (000s) | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>(000s) <br>|
| Buy Protection |  |  |  |  |  |  |  |  |
| CMBX N.A. AAA Index Series 12 | Aug 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 12180 | 121 | 0 | 121 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 540 | 7 | 3 | 10 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 3230 | 44 | 15 | 59 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 1500 | 21 | 1 | 22 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 680 | 9 | (1) | 8 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 630 | 8 | (2) | 6 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 930 | 13 | (3) | 10 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 4000 | 55 | (46) | 9 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 1620 | 22 | (18) | 4 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 710 | 10 | (7) | 3 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 400 | 6 | (1) | 5 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 660 | 9 | (13) | (4) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 800 | 11 | (3) | 8 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 1200 | 17 | (17) | 0 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 1220 | 17 | (2) | 15 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Merrill Lynch Capital Services, Inc. | (0.5%) | Monthly | 3020 | 41 | (52) | (11) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1470 | 20 | 8 | 28 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1330 | 18 | (7) | 11 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 760 | 10 | (12) | (2) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 780 | 11 | (11) | 0 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  | **470** | **(168)** | **302** |

---

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency<br> Clearinghouse /<br> Counterparty<sup>(1)</sup> | Maturity<br> Date | Notional<br> Amount (000s)<sup>(2)</sup> | Value ($)<br> (000s) | Upfront<br> Premium<br> Received/<br> (Paid) ($) (000s)<sup>(3)</sup> | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br> (000s) <br>|
| 3.25% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2024 | 5299 | (48) | 0 | (48) |
| 2.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2027 | 10652 | (88) | 0 | (88) |
| 2.5% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2052 | 712 | (21) | 0 | (21) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  | **(157)** | **0** | **(157)** |

---

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

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

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

(4)Represents floating rate.

*Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.*

**Legend**

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

(b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $2,354,000.

(c) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $518,000.

(d) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $15,000.

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

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

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

(h) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $49,184,000 or 5.0% of net assets.

(i) Level 3 security

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

(k) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

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

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

**Affiliated Central Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate (Amounts in thousands) | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund 3.86% | 230252 | 80334 | 59605 | 1839 | - | - | 250981 | 0.5% |
| Fidelity Securities Lending Cash Central Fund 3.86% | 3840 | 21835 | 25675 | 1 | - | - | - | 0.0% |
| Total | 234092 | 102169 | 85280 | 1840 | - | - | 250981 |  |

---

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

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

**Investment Valuation**

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

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

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

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

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

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

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

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

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

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

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

**Derivative Instruments**

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

**Credit Risk**

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

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

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

- **a. Name of Series:** Fidelity Advisor Mortgage Securities Fund

- **b. EDGAR series identifier (if any):** S000005133

- **c. LEI of Series:** WIIX6BNCF8B12FQGCD90

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1984852508.73

**Total Liabilities:** $999454186.62

**Net Assets:** $985398322.11

**Delayed Delivery Securities:** $657886785.21

**Cash Not Reported:** $20727.35

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3111.69844853 | **1-Year:** 62786.44660063 | **5-Year:** 121073.46427152 | **10-Year:** 186159.80468343 | **30-Year:** 51002.93103007

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

- **3-Month:** 96.45047557 | **1-Year:** 812.21315121 | **5-Year:** 1960.79308006 | **10-Year:** 366.64454962 | **30-Year:** 0.30849649

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000014045 | -8.94%               | -5.53%               | 0.03%                |
| Class ID C000014046 | -5.13%               | -1.57%               | 4.12%                |
| Class ID C000014129 | -5.21%               | -1.56%               | 4.22%                |
| Class ID C000014042 | -8.96%               | -5.53%               | 0.04%                |
| Class ID C000204997 | -5.12%               | -1.56%               | 4.24%                |
| Class ID C000014044 | -6.12%               | -2.66%               | 3.07%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-12255015.94            | $-44375966.56                              |
| Month 2  | $-16234547.89            | $-2403058.37                               |
| Month 3  | $-8937487.31             | $48876767.39                               |

**Designated Index Information**

- **Index Name:** Bloomberg US MBS Index

- **Index Identifier:** 19808147

### Schedule of Portfolio Investments

| Name                                                        | Title                                                                     | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 07/51#BT1461                                                 | CUSIP: 3140LPTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241530 | PA      | $200120.03    | 0.02%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY451600 12/16/72 B                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     660000 | NC      | $9029.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 05/20/2046#AS9175                                            | CUSIP: 36193VFQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50536 | PA      | $47501.49     | 0.00%             | 2046-05-20      | 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        |      47105 | PA      | $46657.93     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 04/01/2032#J36710                                            | CUSIP: 31307TN31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12813 | PA      | $12261.85     | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                  | J P MORGAN CHASE COML MTG SECS TR 2018-WPT 4.248% 07/05/2033 144A         | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     899000 | PA      | $839597.86    | 0.09%             | 2033-07-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 4/42 #AK9019                                                   | CUSIP: 3138EEAV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115437 | PA      | $111557.06    | 0.01%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 11/27 #437435                                                  | CUSIP: 36207N4U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        370 | PA      | $380.59       | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | 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        |      97896 | PA      | $94573.02     | 0.01%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM ARM 6.182% 6/37 #848188                                              | CUSIP: 31300LCZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117996 | PA      | $121191.10    | 0.01%             | 2037-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                 | BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A                        | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     525000 | PA      | $485522.63    | 0.05%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 5/32 #626296                                                   | CUSIP: 31389HXZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25639 | PA      | $26326.60     | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | 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        |     954808 | PA      | $924107.74    | 0.09%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 05/01/2043#Q18136                                          | CUSIP: 3132J9PW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4026 | PA      | $3942.14      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 09/01/2049#CA4142                                            | CUSIP: 3140QBS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2236282 | PA      | $2013475.25   | 0.20%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 01/01/2051#FM7062                                          | CUSIP: 3140XAZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7367446 | PA      | $6380449.77   | 0.65%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 10/01/2042#Q12164                                          | CUSIP: 3132HNMM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20787 | PA      | $20118.94     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#CB3037                                            | CUSIP: 3140QNLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     506742 | PA      | $418278.99    | 0.04%             | 2052-03-01      | Fixed         | 0.02%                 | 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        |     370296 | PA      | $357546.51    | 0.04%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.00% 11/40 #004853                                               | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     457950 | PA      | $443451.69    | 0.05%             | 2040-11-20      | Fixed         | 0.04%                 | 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        |      14772 | PA      | $14735.33     | 0.00%             | 2035-01-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 5.00% 8/23 #988915                                              | CUSIP: 31415TSC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        860 | PA      | $856.99       | 0.00%             | 2023-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 3.50% 10/42 #AP7148                                                  | CUSIP: 3138MA5J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54986 | PA      | $51618.56     | 0.01%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 06/01/2047#ZM3411                                            | CUSIP: 3131XWYG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     259467 | PA      | $250455.34    | 0.03%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2015-GC34                                    | GS MORTGAGE SECURITIES TRUST 2015-GC34 XA CSTR 10/10/2048                 | CUSIP: 36250VAF9<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |    7784313 | PA      | $214184.59    | 0.02%             | 2048-10-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 06/20/2046#AR9310                                            | CUSIP: 36193GKX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12542 | PA      | $11789.29     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 12/01/2052 #TBA                                                | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -58400000 | PA      | $-49587889.68 | -5.03%            | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 03/01/2048#BJ4970                                            | CUSIP: 3140H6QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260126 | PA      | $250360.38    | 0.03%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                               | BX TRUST 2019-XL A 1ML+85 10/15/2036 144A                                 | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     715388 | PA      | $702783.97    | 0.07%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 1ML+ 02/15/2036                            | CUSIP: 31396HLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      31321 | PA      | $2922.51      | 0.00%             | 2036-02-15      | Variable      | 0.03%                 | 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        |      14358 | PA      | $13862.69     | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 02/01/2052#RA6823                                            | CUSIP: 3133KNSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4291774 | PA      | $3542548.30   | 0.36%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3.5% 11/01/2033#G16677                                          | CUSIP: 3128MFUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     966022 | PA      | $936681.87    | 0.10%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 04/01/2050#SD7514                                          | CUSIP: 3132DVK38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7634572 | PA      | $7121950.13   | 0.72%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 7/40 #745236                                                   | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     149879 | PA      | $148446.90    | 0.02%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 3.5% 02/15/2043#796369                                          | CUSIP: 36177RCF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     580809 | PA      | $550613.30    | 0.06%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 11/01/2050#SD7530                                          | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9428721 | PA      | $8165581.59   | 0.83%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.00% 4/42 #G06973                                                   | CUSIP: 3128M9CJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1267741 | PA      | $1226145.03   | 0.12%             | 2042-04-01      | Fixed         | 0.04%                 | 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        |      23015 | PA      | $24137.66     | 0.00%             | 2032-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM ARM 6.39% 12/36 #1J1448                                              | CUSIP: 3128NHTD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47901 | PA      | $48532.52     | 0.00%             | 2036-12-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 4/42 #AK8228                                                   | CUSIP: 3138EDEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254130 | PA      | $245557.97    | 0.02%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 3.5% 05/01/2038#G31067                                          | CUSIP: 3132J4MR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     289045 | PA      | $279706.26    | 0.03%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 9/39 #004540                                                | CUSIP: 36202FBH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7880 | PA      | $7826.95      | 0.00%             | 2039-09-20      | 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        |       8904 | PA      | $8608.65      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C46                            | WELLS FARGO COML MTG TR 2018-C46 XA CSTR 08/15/2051                       | CUSIP: 95001QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9311347 | PA      | $255805.05    | 0.03%             | 2051-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK25                                             | BANK 20-BNK25 XB CSTR 01/15/2063                                          | CUSIP: 06539WBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14100000 | PA      | $351231.00    | 0.04%             | 2063-01-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 10/01/2048#CA2432                                          | CUSIP: 3140Q9V26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2096506 | PA      | $2083250.85   | 0.21%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 7.00% 9/36 #C02621                                                   | CUSIP: 31292J4E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13002 | PA      | $13992.54     | 0.00%             | 2036-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 10/01/2051#FM9049                                            | CUSIP: 3140XDBT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2174780 | PA      | $1946207.36   | 0.20%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 10/01/2051#RA5998                                            | CUSIP: 3133KMUX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2811394 | PA      | $2507127.35   | 0.25%             | 2051-10-01      | Fixed         | 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        |      94703 | PA      | $7744.90      | 0.00%             | 2034-05-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CSMC SER 2015-1R                                            | CSMC SER 2015-1R 1ML+28 05/27/2037 144A                                   | CUSIP: 12649MBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     394072 | PA      | $381732.82    | 0.04%             | 2037-05-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 8.50% 11/27 #780834                                                  | CUSIP: 36225A4T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4176 | PA      | $4342.60      | 0.00%             | 2027-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 3.5% 03/15/2043#AD0818                                          | CUSIP: 36180B4B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     322593 | PA      | $305821.73    | 0.03%             | 2043-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4.0% 03/15/2041#763058                                          | CUSIP: 36176DQK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     156506 | PA      | $151375.07    | 0.02%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.00% 2/42 #Q06088                                                   | CUSIP: 3132GRCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65106 | PA      | $62987.67     | 0.01%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2017-30 AI 5.5% 05/47                                                 | CUSIP: 3136AWQD2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     291715 | PA      | $52766.32     | 0.01%             | 2047-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4.5% 06/15/2041#366975                                          | CUSIP: 36204DT82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     738528 | PA      | $731508.99    | 0.07%             | 2041-06-15      | Fixed         | 0.04%                 | 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        |       5719 | PA      | $5658.98      | 0.00%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                  | JPMCC 2018-WPT XAFX CSTR 07/23 144A                                       | CUSIP: 46645WAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7720000 | PA      | $29177.74     | 0.00%             | 2033-07-05      | Variable      | 0.01%                 | 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        |      57782 | PA      | $55776.53     | 0.01%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 09/46#Q43257                                               | CUSIP: 3132WGTP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71776 | PA      | $67528.98     | 0.01%             | 2046-09-01      | Fixed         | 0.04%                 | 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        |       9093 | PA      | $8825.45      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | 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        |    3150576 | PA      | $2860108.62   | 0.29%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2010-135 ZA 4.5% 12/40                                                | CUSIP: 31398SE82<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      42311 | PA      | $42428.61     | 0.00%             | 2040-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 08/01/2052#                                                  | CUSIP: 3140N0PL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1753084 | PA      | $1672886.99   | 0.17%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 08/01/2041#AI7563                                          | CUSIP: 3138AMMM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17266 | PA      | $17173.23     | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 9/28 #481326                                                   | CUSIP: 36209TVT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        380 | PA      | $381.52       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 11/01/2051#FM9568                                            | CUSIP: 3140XDT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5721096 | PA      | $4742016.44   | 0.48%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 8.00% 3/37 #922475                                                   | CUSIP: 31412D2G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10401 | PA      | $11466.11     | 0.00%             | 2037-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.0% 02/01/2043#Q15789                                          | CUSIP: 3132J62X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86358 | PA      | $79271.04     | 0.01%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 05/20/2046#AT0228                                            | CUSIP: 36193XHD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9893 | PA      | $9299.19      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 6.25% 6/36 #886983                                               | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3151 | PA      | $3184.35      | 0.00%             | 2036-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 09/01/2043#Q21524                                          | CUSIP: 3132JNVR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7565 | PA      | $7370.49      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 01/01/2044#Q24349                                          | CUSIP: 3132M4QA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26286 | PA      | $25602.25     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 07/01/2052#                                                | CUSIP: 3140QPQS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4310786 | PA      | $4245810.94   | 0.43%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 3.50% 10/42 #AP6486                                                  | CUSIP: 3138MAF45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12731 | PA      | $11935.02     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 3/40 #678658                                                   | CUSIP: 36295R5T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31024 | PA      | $29983.69     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 5.5% 12/01/2052 #TBA                                            | CUSIP: 01F0526C1<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -4200000 | PA      | $-4247906.04  | -0.43%            | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 1.5% 03/01/2051#QC0031                                          | CUSIP: 3133AJA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34112 | PA      | $26588.97     | 0.00%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 6.34% 5/36 #872506                                               | CUSIP: 31409JKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31514 | PA      | $31764.02     | 0.00%             | 2036-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 7/27 #250990                                                   | CUSIP: 31371FXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $24.80        | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.00% 4/42 #Q07441                                                   | CUSIP: 3132GSS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29975 | PA      | $28989.41     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 10/01/2049#RA1544                                          | CUSIP: 3133KGWD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     475007 | PA      | $440885.85    | 0.04%             | 2049-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2017                                | WELLS FARGO COML MTG TR 2017 C42 XA CSTR 12/15/2050                       | CUSIP: 95001GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15102669 | PA      | $524014.29    | 0.05%             | 2050-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 427 LI 3.5% 02/15/2034                     | CUSIP: 3137BGB32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     248555 | PA      | $15896.72     | 0.00%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 02/01/2046#BM5199                                          | CUSIP: 3140J9X55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     440571 | PA      | $438202.47    | 0.04%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 11/01/2051#QD1240                                            | CUSIP: 3133AXLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46440 | PA      | $41232.28     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 02/01/2050#CA5122                                            | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1364665 | PA      | $1227847.01   | 0.12%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 7/40 #743101                                                   | CUSIP: 3620AXRW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4963 | PA      | $5012.02      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 3415 PC 5% 12/37                                                      | CUSIP: 31397R3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      32246 | PA      | $32131.96     | 0.00%             | 2037-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTG BACKED SECS 2003-I TR                       | WELLS FARGO MORTGAGE BACKED SECURITIES 2003-I TRUST VAR 09/25/2033        | CUSIP: 949802AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      70220 | PA      | $66892.13     | 0.01%             | 2033-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.00% 2/41 #A96807                                                   | CUSIP: 312945R42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     489312 | PA      | $473661.35    | 0.05%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BFLD TR 2020 -OBRK                                          | BFLD TR 2020 - OBRK A 1ML+225 11/15/2022 144A                             | CUSIP: 05553JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     550000 | PA      | $542404.78    | 0.06%             | 2028-11-15      | Variable      | 0.06%                 | 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        |      16732 | PA      | $16150.88     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 7.00% 8/26 #C90997                                              | CUSIP: 3128P7DA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18930 | PA      | $19273.17     | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 7/29 #487563                                                   | CUSIP: 36210BTU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13875 | PA      | $14563.58     | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 07/01/2041#AH5464                                          | CUSIP: 3138A7CA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17929 | PA      | $17813.07     | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 02/01/2050#FM2439                                            | CUSIP: 3140X5V91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3557163 | PA      | $3206087.87   | 0.33%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 09/20/2046#MA3939                                            | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3534 | PA      | $3553.90      | 0.00%             | 2046-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 6.50% 8/27 #928600                                              | CUSIP: 31412LUZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38733 | PA      | $39449.19     | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.50% 9/39 #710868                                                   | CUSIP: 36297FW57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     149342 | PA      | $154778.11    | 0.02%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 6.50% 2/27 #D97196                                              | CUSIP: 3128E37H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5059 | PA      | $5129.31      | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | 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        |       9434 | PA      | $9119.59      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 1ML+ 05/25/2037                            | CUSIP: 31396VYS1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      23514 | PA      | $2898.42      | 0.00%             | 2037-05-25      | Variable      | 0.02%                 | 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        |      15633 | PA      | $15097.11     | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 09/01/2045#BA0270                                            | CUSIP: 3140E4JQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109443 | PA      | $106189.06    | 0.01%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 11/01/2042#Q13425                                          | CUSIP: 3132HPYW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72370 | PA      | $70577.23     | 0.01%             | 2042-11-01      | 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        |      31811 | PA      | $30717.49     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 03/01/2041#MA4287                                            | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20549 | PA      | $17629.53     | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 12/01/2039#                                                | CUSIP: 312938BB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13881 | PA      | $13807.87     | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 06/01/2048#G67713                                            | CUSIP: 3132XCSA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     827612 | PA      | $803226.56    | 0.08%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 11/01/2051#RA6239                                            | CUSIP: 3133KM4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1215541 | PA      | $1005999.90   | 0.10%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 09/01/2049#FM1534                                          | CUSIP: 3140X4V45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     938733 | PA      | $932797.77    | 0.09%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US 10YR NOTE FUT (CBT)MAR23 TYH3                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -333 | NC      | $-302347.35   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2020-2                            | RMF BUYOUT ISSUANCE TRUST 2020-2 1.7188% 10/25/2050 144A                  | CUSIP: 76971EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1335995 | PA      | $1218946.87   | 0.12%             | 2050-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 09/01/2047#BJ0197                                            | CUSIP: 3140H1GF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13966 | PA      | $13625.13     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 5/41 #005055                                                | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     342458 | PA      | $340411.14    | 0.03%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.00% 3/42 #Q07242                                                   | CUSIP: 3132GSLX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100036 | PA      | $96812.14     | 0.01%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 6/32 #254383                                                   | CUSIP: 31371KRC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2531 | PA      | $2718.45      | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 2/41 #A96766                                                   | CUSIP: 312945QT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28376 | PA      | $28254.39     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 05/20/2046#AS6967                                            | CUSIP: 36193SW47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34887 | PA      | $32791.71     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 8.00% 6/25 #407541                                                   | CUSIP: 36206CWA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        289 | PA      | $294.73       | 0.00%             | 2025-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 12/01/2042#C04320                                            | CUSIP: 31292LYR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     628997 | PA      | $577379.38    | 0.06%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 4.5% 07/25/2027                            | CUSIP: 3136A7HT2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      39317 | PA      | $1389.72      | 0.00%             | 2027-07-25      | Fixed         | 0.04%                 | 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        |      90750 | PA      | $82053.93     | 0.01%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 04/01/2032#                                                | CUSIP: 31287SCS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3352 | PA      | $3523.24      | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 2/41 #A97152                                                   | CUSIP: 3129455M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43055 | PA      | $42876.32     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 1/29 #499333                                                   | CUSIP: 36210QV25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        223 | PA      | $229.94       | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.00% 11/28 #C00680                                                  | CUSIP: 31292GXH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3918 | PA      | $3991.86      | 0.00%             | 2028-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 11/01/2051#FM9539                                            | CUSIP: 3140XDS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3625141 | PA      | $3000221.15   | 0.30%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 09/01/2043#Q21255                                          | CUSIP: 3132JNMC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35858 | PA      | $34946.79     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.0% 07/20/2044#MA2074                                            | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     157358 | PA      | $154076.22    | 0.02%             | 2044-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7.5% 06/01/2027#                                                | CUSIP: 31292GSM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2292 | PA      | $2376.93      | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 2/28 #462554                                                   | CUSIP: 36208VZT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        908 | PA      | $932.63       | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 5/29 #486378                                                   | CUSIP: 36210AJX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1710 | PA      | $1780.85      | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY451600 12/16/72 B                                           | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    4000000 | NC      | $54722.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 03/01/2041#A97673                                          | CUSIP: 312946Q25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24862 | PA      | $24758.79     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 01/01/2036#MA4228                                          | CUSIP: 31418DVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1224466 | PA      | $1076876.49   | 0.11%             | 2036-01-01      | Fixed         | 0.01%                 | 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        |       3628 | PA      | $3502.95      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP                                 | GSAMP 2004-AR1 B4 STEP 6/34                                               | CUSIP: 36228F6Y7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      21236 | PA      | $15549.84     | 0.00%             | 2034-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 3.50% 11/42 #AQ0206                                                  | CUSIP: 3138MFGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36599 | PA      | $34319.93     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 7/29 #510100                                                   | CUSIP: 36211DUZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         59 | PA      | $60.43        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 05/48#ZA5379                                                 | CUSIP: 31329N6Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     901063 | PA      | $870332.28    | 0.09%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.0% 07/01/2043#AB9858                                          | CUSIP: 31417G5U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1536175 | PA      | $1407364.51   | 0.14%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 7.00% 3/26 #D96943                                              | CUSIP: 3128E3WC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6835 | PA      | $6939.93      | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 12/01/2052 #TBA                                              | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -2250000 | PA      | $-2087358.08  | -0.21%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 11/29 #509256                                                  | CUSIP: 36211CWR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2028 | PA      | $2132.25      | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                           | MORGAN STANLEY CAP I TR 2019-MEAD 3.17% 11/10/2036 144A                   | CUSIP: 61771LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1140000 | PA      | $1058140.82   | 0.11%             | 2036-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7.5% 02/01/2032#                                                | CUSIP: 31287PHP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     213679 | PA      | $228937.39    | 0.02%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 1.5% 03/01/2041#MA4286                                          | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327179 | PA      | $268209.31    | 0.03%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG 3237 C 5.5% 11/15/2036                                | CUSIP: 31397CDM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     300369 | PA      | $303743.53    | 0.03%             | 2036-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 07/01/2033#                                                  | CUSIP: 3140JAUL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     723009 | PA      | $690657.27    | 0.07%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 3.50% 11/42 #AQ0170                                                  | CUSIP: 3138MFFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34725 | PA      | $32555.25     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 02/01/2034#SB0179                                            | CUSIP: 3132CWFU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1519279 | PA      | $1449399.34   | 0.15%             | 2034-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 6/28 #475419                                                   | CUSIP: 36209MDY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2591 | PA      | $2684.13      | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3.5% 05/15/2031                            | CUSIP: 3137AQ6B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      85914 | PA      | $2678.54      | 0.00%             | 2031-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 12/28 #780977                                                  | CUSIP: 36225BCN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3988 | PA      | $4101.92      | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 9/30 #535486                                                   | CUSIP: 31384V2T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        274 | PA      | $291.02       | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY451600 12/16/72 B                                           | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     710000 | NC      | $9713.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 4/28 #465701                                                   | CUSIP: 36209AKN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2301 | PA      | $2348.37      | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 04/01/2043#Q17646                                          | CUSIP: 3132J85G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     708463 | PA      | $669201.13    | 0.07%             | 2043-04-01      | 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        |      34998 | PA      | $33788.16     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY451600 12/16/72 B                                           | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    1500000 | NC      | $20520.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 11/39 #704775                                                  | CUSIP: 36296X6L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81591 | PA      | $82198.61     | 0.01%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS       | GNR 2011-H13 FA 1ML+50 4/61                                               | CUSIP: 38375BLW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      44192 | PA      | $43767.71     | 0.00%             | 2061-04-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 3.0% 06/15/2042#794507                                          | CUSIP: 36177PAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106283 | PA      | $97615.09     | 0.01%             | 2042-06-15      | Fixed         | 0.03%                 | 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        |      11292 | PA      | $10960.46     | 0.00%             | 2043-08-15      | 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        |       9935 | PA      | $9589.73      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 11/01/2040#A95150                                            | CUSIP: 312943WK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1237855 | PA      | $1198156.94   | 0.12%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 02/01/2052#CB2842                                            | CUSIP: 3140QNEQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6074971 | PA      | $5010651.88   | 0.51%             | 2052-02-01      | Fixed         | 0.02%                 | 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        |      23707 | PA      | $22330.46     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM ARM 2.90% 5/34 #781630                                               | CUSIP: 31349SY31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1229 | PA      | $1242.89      | 0.00%             | 2034-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 01/01/2044#V80950                                          | CUSIP: 3132L6BT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37237 | PA      | $36268.14     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 06/01/2042#AB5379                                          | CUSIP: 31417B6R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39228 | PA      | $36830.23     | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 02/01/45#C09071                                            | CUSIP: 31292SCG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1830 | PA      | $1779.19      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 9/28 #468965                                                   | CUSIP: 36209D6A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26457 | PA      | $27222.31     | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | 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        |     632893 | PA      | $638569.69    | 0.06%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2011-67 AI IO 4% 7/26                                                 | CUSIP: 31397U4B2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      13429 | PA      | $388.71       | 0.00%             | 2026-07-25      | 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        |     241708 | PA      | $225954.07    | 0.02%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 10/01/2050#SD0450                                          | CUSIP: 3132DMQB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2676770 | PA      | $2315660.91   | 0.23%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 4.5% 05/20/2041#783578                                            | CUSIP: 36241L6P6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2520 | PA      | $2504.62      | 0.00%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 07/51#QC4163                                                 | CUSIP: 3133ANTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     328827 | PA      | $272450.39    | 0.03%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 5.869% 5/36 #995608                                              | CUSIP: 31416CAH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5333 | PA      | $5394.37      | 0.00%             | 2036-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 9/27 #451439                                                   | CUSIP: 36208HPY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        128 | PA      | $131.92       | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5.0% 07/01/2041#Q02067                                          | CUSIP: 3132GFJL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38339 | PA      | $39130.72     | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 06/01/2043#Q19744                                          | CUSIP: 3132JBHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41786 | PA      | $40725.00     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 03/01/2033#BK4845                                            | CUSIP: 3140HJL33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109046 | PA      | $104030.45    | 0.01%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG 2012-14 CLASS JS 1ML+665 12/25/2030                       | CUSIP: 3136A4WY1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      30132 | PA      | $250.51       | 0.00%             | 2030-12-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 5.00% 7/33 #A11628                                                   | CUSIP: 31296KYZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39217 | PA      | $39175.49     | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-RPL1 LLC                                          | PRPM 2021-RPL1 LLC 1.484% 07/25/2051 144A                                 | CUSIP: 69360GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     327460 | PA      | $290527.39    | 0.03%             | 2051-07-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#CB3036                                            | CUSIP: 3140QNLS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     517485 | PA      | $427954.83    | 0.04%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2% 02/01/2042#RB5145                                            | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1014972 | PA      | $859671.33    | 0.09%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.00% 3/24 #D50951                                                   | CUSIP: 31356DBU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4414 | PA      | $4420.21      | 0.00%             | 2024-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4% 08/20/2048#MA5398                                              | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2981279 | PA      | $2877185.83   | 0.29%             | 2048-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 06/20/2046#AU2287                                            | CUSIP: 36194PRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21171 | PA      | $19899.81     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY451600 12/16/72 B                                           | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    3230000 | NC      | $44188.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 6/40 #743475                                                   | CUSIP: 3620AX6L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27510 | PA      | $27770.03     | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 07/01/2033#709252                                            | CUSIP: 31401H5M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78727 | PA      | $79264.02     | 0.01%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 12/01/2046#BD9690                                          | CUSIP: 3140FHXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145949 | PA      | $136958.79    | 0.01%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 10/01/2043#Q22486                                          | CUSIP: 3132JPXP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12140 | PA      | $11827.74     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 05/50#FM3269                                                 | CUSIP: 3140X6T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     386032 | PA      | $347329.32    | 0.04%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4% 04/20/2048#MA5137                                              | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44825 | PA      | $43301.93     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7.5% 09/01/2031#                                                | CUSIP: 31292HMA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6124 | PA      | $6536.09      | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 07/01/2029#                                                  | CUSIP: 31293TF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        154 | PA      | $157.93       | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 3.5% 12/01/2052 #TBA                                            | CUSIP: 01F0326C3<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -1350000 | PA      | $-1236937.50  | -0.13%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 10/23 #369344                                                  | CUSIP: 36204GHV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         39 | PA      | $38.94        | 0.00%             | 2023-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 02/01/2044#Q24971                                          | CUSIP: 3132M5FL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18991 | PA      | $18484.57     | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 12/01/2051#QD3433                                            | CUSIP: 3133B0Y64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     346272 | PA      | $286471.61    | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 05/20/2046#AR3062                                            | CUSIP: 36192XMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29956 | PA      | $28157.47     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 7/40 #719230                                                   | CUSIP: 3620A5A74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62491 | PA      | $61897.94     | 0.01%             | 2040-07-15      | Fixed         | 0.04%                 | 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        |      98614 | PA      | $99104.84     | 0.01%             | 2033-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 2/41 #A96695                                                   | CUSIP: 312945NL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32897 | PA      | $32722.98     | 0.00%             | 2041-02-01      | 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        |      20910 | PA      | $20213.60     | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 1ML+ 12/25/2036                            | CUSIP: 31396LZK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      43750 | PA      | $5976.43      | 0.00%             | 2036-12-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 11/01/2051#RA6241                                            | CUSIP: 3133KM5A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5059473 | PA      | $4179391.00   | 0.42%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 08/01/2044#Q28059                                          | CUSIP: 3132M8TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8961 | PA      | $8727.38      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 04/01/2024#                                                | CUSIP: 31335GEJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        123 | PA      | $123.34       | 0.00%             | 2024-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 11/01/2051#CB2048                                          | CUSIP: 3140QMH23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5128913 | PA      | $4404141.38   | 0.45%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 8/29 #509410                                                   | CUSIP: 36211C3T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        367 | PA      | $381.41       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                        | LIFE 2021-BMR MTG TR 1ML+70 03/15/2038 144A                               | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1418426 | PA      | $1363279.23   | 0.14%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2121 MG 6% 2/29                                                       | CUSIP: 3133TJA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      40294 | PA      | $40940.29     | 0.00%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.50% 3/37 #A58828                                                   | CUSIP: 3128KMYZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2865 | PA      | $3081.84      | 0.00%             | 2037-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 02/01/2042#FS0617                                            | CUSIP: 3140XFVK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1599190 | PA      | $1354498.10   | 0.14%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3.5% 08/01/2034#CA4087                                          | CUSIP: 3140QBRH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     670953 | PA      | $649808.85    | 0.07%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2018-3PCK                      | GS MORTGAGE SECURITIES TRUST 2018-3PCK A 1ML+145 09/15/2021 144A          | CUSIP: 36255YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4876024 | PA      | $4780451.44   | 0.49%             | 2031-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 05/01/2044#AS9099                                            | CUSIP: 3138WKDD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27582 | PA      | $27902.98     | 0.00%             | 2044-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 7.00% 8/34 #G08018                                                   | CUSIP: 3128MJAU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11396 | PA      | $12332.27     | 0.00%             | 2034-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 06/01/2050#RA2677                                            | CUSIP: 3133KH6N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4647329 | PA      | $3863627.36   | 0.39%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 4.50% 5/25 #AB1004                                              | CUSIP: 31416WDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18398 | PA      | $18219.71     | 0.00%             | 2025-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 09/01/2051#CB1549                                          | CUSIP: 3140QLWK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1292850 | PA      | $1113994.71   | 0.11%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4.0% 05/15/2041#770680                                          | CUSIP: 36176M6R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170265 | PA      | $164677.04    | 0.02%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 1.5% 06/01/2051#CB0788                                          | CUSIP: 3140QK2W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     336545 | PA      | $262004.64    | 0.03%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 8/40 #733255                                                   | CUSIP: 3620ALTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29966 | PA      | $29663.19     | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.0% 06/20/2045#MA2893                                            | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2844023 | PA      | $2781160.81   | 0.28%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2019-1                                       | TOWD PT MTG TR 2019-1 3.75% 03/25/2058 144A                               | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     859678 | PA      | $795538.36    | 0.08%             | 2058-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 2% 12/01/2052 #TBA                                              | CUSIP: 01F0206C8<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -101900000 | PA      | $-83806381.25 | -8.50%            | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 06/01/2045#Q34164                                          | CUSIP: 3132QQTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2965905 | PA      | $2794124.00   | 0.28%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 04/01/2046#Q40046                                          | CUSIP: 3132WDBQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1150169 | PA      | $1082474.70   | 0.11%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 2.5% 05/01/2035#SB8045                                          | CUSIP: 3132D55E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1552406 | PA      | $1445484.72   | 0.15%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 11/01/2040#A94862                                          | CUSIP: 312943MK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177604 | PA      | $176864.43    | 0.02%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 9/32 #654060                                                   | CUSIP: 31390RTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12450 | PA      | $13425.96     | 0.00%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 11/01/2049#CA4628                                            | CUSIP: 3140QCEA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129199 | PA      | $124439.37    | 0.01%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 05/20/2046#AS6968                                            | CUSIP: 36193SW54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51789 | PA      | $48679.00     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 05/01/2046#V82275                                            | CUSIP: 3132L7Q44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1258455 | PA      | $1145350.36   | 0.12%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST 2020-HB5                     | CASCADE FUNDING MORTGAGE TRUST 2020-HB5 0.8335% 02/25/2031 144A           | CUSIP: 12526PAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     512746 | PA      | $492280.13    | 0.05%             | 2031-02-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5% 09/01/2052#SD1572                                            | CUSIP: 3132DNW90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     890731 | PA      | $897510.11    | 0.09%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2135 JE 6% 3/29                                                       | CUSIP: 3133TJWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      52208 | PA      | $53122.17     | 0.01%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 2.5% 06/01/2031#J34501                                          | CUSIP: 31307RAA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     109704 | PA      | $104055.65    | 0.01%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 10/01/2043#Q22499                                          | CUSIP: 3132JPX49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76187 | PA      | $74204.06     | 0.01%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 02/01/2048#V83994                                            | CUSIP: 3132L9NK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     290863 | PA      | $280293.50    | 0.03%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 11/01/2051#CB2166                                            | CUSIP: 3140QMMQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1768075 | PA      | $1573131.05   | 0.16%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 06/01/2050#SD7518                                            | CUSIP: 3132DVK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2426113 | PA      | $2185909.36   | 0.22%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS6 MTG TR                                       | COMM 2014-UBS6 XA CSTR 12/47                                              | CUSIP: 12592PBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8734928 | PA      | $111432.35    | 0.01%             | 2047-12-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 04/01/2024#                                                | CUSIP: 31292GK47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        150 | PA      | $150.44       | 0.00%             | 2024-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 12/01/2052 #TBA                                                | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   67800000 | PA      | $57569502.06  | 5.84%             | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 7/28 #458908                                                   | CUSIP: 36208RYD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        330 | PA      | $334.62       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2015-70 JC 3% 10/45                                                   | CUSIP: 3136AQCV0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     624478 | PA      | $591337.74    | 0.06%             | 2045-10-25      | Fixed         | 0.03%                 | 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        |     483131 | PA      | $455950.96    | 0.05%             | 2041-11-20      | 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 4.0% 12/15/2028                            | CUSIP: 3137B6MF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      71231 | PA      | $1588.51      | 0.00%             | 2028-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 4/28 #460204                                                   | CUSIP: 36208TGM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        327 | PA      | $339.14       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 8.00% 8/25 #409199                                                   | CUSIP: 36206ERU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4456 | PA      | $4551.88      | 0.00%             | 2025-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MSC 2021-L6                                                 | MSC 2021-L6 XA 1.35631% 06/15/2054                                        | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2189962 | PA      | $140912.25    | 0.01%             | 2054-06-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 2/42 #AK1110                                                   | CUSIP: 3138E5GU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36498 | PA      | $35254.00     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 09/01/2050#FM4342                                          | CUSIP: 3140X7ZG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11765743 | PA      | $10196873.29  | 1.03%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 01/48#BJ1074                                               | CUSIP: 3140H2FQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26434 | PA      | $26165.35     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 06/01/2041#                                                | CUSIP: 3132GEQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8880 | PA      | $8843.89      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3% 10/20/2051#MA7650                                              | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3217418 | PA      | $2919531.43   | 0.30%             | 2051-10-20      | 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 1ML+65 05/20/2061                | CUSIP: 38375BWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       4472 | PA      | $4416.15      | 0.00%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 10/20/44#MA2305                                              | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2659 | PA      | $2674.05      | 0.00%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 11/01/2052#CB5139                                          | CUSIP: 3140QQV93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4200278 | PA      | $4256598.86   | 0.43%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4% 06/20/2048#MA5264                                              | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     101173 | PA      | $97671.62     | 0.01%             | 2048-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 4/35 #003700                                                | CUSIP: 36202EDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17594 | PA      | $17410.17     | 0.00%             | 2035-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 07/01/2043#Q19988                                          | CUSIP: 3132JBRJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33739 | PA      | $32882.22     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                     | MNGT SWAP CY451600 12/16/72 B                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     800000 | NC      | $10944.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 12/01/2051#RA6434                                          | CUSIP: 3133KNEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2899541 | PA      | $2488897.48   | 0.25%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 3/41 #A97661                                                   | CUSIP: 312946QN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     119255 | PA      | $118758.47    | 0.01%             | 2041-03-01      | 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        |    2001284 | PA      | $1937860.79   | 0.20%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2003-118 S -1ML+81 12/33                                              | CUSIP: 31393UNH2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      69382 | PA      | $10726.20     | 0.00%             | 2033-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5% 11/01/2052#SD1862                                            | CUSIP: 3132DPB72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1400285 | PA      | $1415318.18   | 0.14%             | 2052-11-01      | Fixed         | 0.05%                 | 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        |       6938 | PA      | $6592.78      | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHR 2114 ZM 6% 1/29                                                       | CUSIP: 3133THQB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      13792 | PA      | $14019.96     | 0.00%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 7/28 #476120                                                   | CUSIP: 36209M4D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        800 | PA      | $826.08       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 7.50% 7/34 #G02115                                                   | CUSIP: 3128LXK41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     143294 | PA      | $150475.14    | 0.02%             | 2034-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS       | GNR 2015-H13 HA 2.5% 08/64                                                | CUSIP: 38376RCQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      10807 | PA      | $10144.62     | 0.00%             | 2064-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 2.75% 08/15/2032                                                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4835000 | PA      | $4478418.75   | 0.45%             | 2032-08-15      | Fixed         | 0.03%                 | 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        |     124045 | PA      | $119815.34    | 0.01%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 06/01/2045#Q34467                                          | CUSIP: 3132QQ6D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103013 | PA      | $100525.30    | 0.01%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 12/25 #332726                                                  | CUSIP: 31375ESP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        189 | PA      | $192.39       | 0.00%             | 2025-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 12/01/2048#G61821                                          | CUSIP: 31335CAW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1492922 | PA      | $1480196.13   | 0.15%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 11/41 #AB3872                                                  | CUSIP: 31417AJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258598 | PA      | $249964.41    | 0.03%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 2/24 #371277                                                   | CUSIP: 36204JM29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         18 | PA      | $18.27        | 0.00%             | 2024-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 6/32 #648177                                                   | CUSIP: 31390KCN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1783 | PA      | $1917.36      | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 6/40 #745138                                                   | CUSIP: 3620C0ZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     242246 | PA      | $239898.40    | 0.02%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CY451600 12/16/72 B                                             | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     780000 | NC      | $10670.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.0% 01/01/2045#AY0356                                          | CUSIP: 3138YDME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     508196 | PA      | $493563.69    | 0.05%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 05/20/2046#AT2645                                            | CUSIP: 36194A5E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22461 | PA      | $21060.30     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 02/01/2035#FM2518                                          | CUSIP: 3140X5YQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     737715 | PA      | $688057.71    | 0.07%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 04/46#G60551                                                 | CUSIP: 31335ATG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1421388 | PA      | $1386170.71   | 0.14%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 11/39 #A89870                                                  | CUSIP: 3129366F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18529 | PA      | $18430.52     | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 2.5% 02/01/2035#QN1578                                          | CUSIP: 3133G7XF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     770661 | PA      | $718545.32    | 0.07%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2018-BOP                            | MORGAN STANLEY CAP I TR 2018-BOP A 1ML+85 06/15/2035 144A                 | CUSIP: 61768FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1427721 | PA      | $1346469.10   | 0.14%             | 2033-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 7/40 #733234                                                   | CUSIP: 3620ALSX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15334 | PA      | $15188.29     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 06/44#MA1997                                                 | CUSIP: 36179QGE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3044 | PA      | $3060.61      | 0.00%             | 2044-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 12/01/2034#FM0046                                            | CUSIP: 3140X3BQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     736717 | PA      | $701449.63    | 0.07%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 3244 SG -1ML+666 11/36                                                | CUSIP: 31397CDA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     107717 | PA      | $12955.35     | 0.00%             | 2036-11-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.00% 3/41 #004977                                                | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106347 | PA      | $102975.10    | 0.01%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 02/01/2052#FS0605                                          | CUSIP: 3140XFU74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4635353 | PA      | $3984672.07   | 0.40%             | 2052-02-01      | 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        |       3094 | PA      | $2939.97      | 0.00%             | 2044-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 07/01/2048#ZM7210                                            | CUSIP: 3131Y2AK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1113837 | PA      | $1070976.00   | 0.11%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | WI 2022-K150 A2 3.71% 11/32                                               | CUSIP: 3137H8U41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1800000 | PA      | $1696167.90   | 0.17%             | 2032-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 03/01/2050#FM6195                                            | CUSIP: 3140X93D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2620500 | PA      | $2362688.31   | 0.24%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 12/01/2046#BE5877                                          | CUSIP: 3140FRQ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157574 | PA      | $148064.58    | 0.02%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 12/01/2051#RA6496                                          | CUSIP: 3133KNGD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1421044 | PA      | $1219790.84   | 0.12%             | 2051-12-01      | Fixed         | 0.03%                 | 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        |      19949 | PA      | $19308.76     | 0.00%             | 2041-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021                  | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A 1ML+120 12/31/2049 144A | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     925000 | PA      | $872108.59    | 0.09%             | 2031-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 11/01/2052#CB5128                                            | CUSIP: 3140QQVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2448810 | PA      | $2472804.52   | 0.25%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSMC SER 2014-3R                                            | CSMC SER 2014-3R VAR 05/27/2037                                           | CUSIP: 12648GAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     142418 | PA      | $14.24        | 0.00%             | 2037-05-27      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.54% 02/01/2039#                                               | CUSIP: 3138ETWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102714 | PA      | $105166.56    | 0.01%             | 2039-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 8.50% 3/23 #050740                                                   | CUSIP: 313615LV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.65         | 0.00%             | 2023-03-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 1999-17 PG 6% 4/29                                                    | CUSIP: 31359VSD6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      78411 | PA      | $79473.84     | 0.01%             | 2029-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.00% 10/34 #A45794                                                  | CUSIP: 3128K6NK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53706 | PA      | $55077.88     | 0.01%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 2/37 #908771                                                   | CUSIP: 31411HT42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4570 | PA      | $4890.68      | 0.00%             | 2037-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 06/01/2051#FM7507                                          | CUSIP: 3140XBKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7734524 | PA      | $6679015.13   | 0.68%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 03/01/2032#                                                | CUSIP: 31287P6S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5654 | PA      | $5938.94      | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV2.75% MAC 12/21/27                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |   10652000 | NC      | $-87863.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 12/01/2032#J38057                                            | CUSIP: 31307U5S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     275642 | PA      | $263192.13    | 0.03%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 8/35 #830779                                                   | CUSIP: 31407G6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7409 | PA      | $7913.32      | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 06/20/2046#AR3124                                            | CUSIP: 36192XPH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33716 | PA      | $31691.54     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 03/01/2046#BM4548                                          | CUSIP: 3140J9BS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331284 | PA      | $329442.90    | 0.03%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4.0% 06/15/2041#770824                                          | CUSIP: 36176ND57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     200740 | PA      | $193885.73    | 0.02%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES   | FNS 351 12 5.5% 4/34                                                      | CUSIP: 3136FCJB3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      23067 | PA      | $3991.70      | 0.00%             | 2034-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 3.5% 05/01/2034#C91764                                          | CUSIP: 3128P75Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     348819 | PA      | $337331.25    | 0.03%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 10/28 #490635                                                  | CUSIP: 36210FBC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        783 | PA      | $808.90       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 3832 PE 5% 3/41                                                       | CUSIP: 3137A7WV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     389827 | PA      | $391781.57    | 0.04%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 10/35 #835556                                                  | CUSIP: 31407NH97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15400 | PA      | $16451.37     | 0.00%             | 2035-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.00% 4/42 #C03856                                                   | CUSIP: 31292LH99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67998 | PA      | $65789.09     | 0.01%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 12/01/2040#MA4204                                            | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18782 | PA      | $16113.41     | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 7/40 #745192                                                   | CUSIP: 3620C02Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     228821 | PA      | $226572.54    | 0.02%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 11/01/2047#Q52082                                          | CUSIP: 3132XUJ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51934 | PA      | $51229.03     | 0.01%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 5.91% 3/36 #865849                                               | CUSIP: 31409A5J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16943 | PA      | $16921.46     | 0.00%             | 2036-03-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 3.50% 9/42 #AP5129                                                   | CUSIP: 3138M8VX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93331 | PA      | $87529.41     | 0.01%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 6/40 #745068                                                   | CUSIP: 3620C0W53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72910 | PA      | $72198.23     | 0.01%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 05/01/2045#G61807                                            | CUSIP: 31335CAG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160227 | PA      | $155062.90    | 0.02%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 02/35#BO9279                                               | CUSIP: 3140K5JZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     354449 | PA      | $330590.81    | 0.03%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 12/01/2051#QD3432                                            | CUSIP: 3133B0Y56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     302886 | PA      | $249915.93    | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2947 XZ 6% 3/35                                                       | CUSIP: 31395RA81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     172910 | PA      | $179043.30    | 0.02%             | 2035-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 12/01/2032#SB0030                                            | CUSIP: 3132CWA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     745021 | PA      | $714245.36    | 0.07%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 03/20/2046#MA3523                                            | CUSIP: 36179R4G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9562 | PA      | $9614.13      | 0.00%             | 2046-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 10/39 #G08368                                                  | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1566748 | PA      | $1558515.54   | 0.16%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 05/01/2043#Q18481                                          | CUSIP: 3132J92P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48035 | PA      | $46814.95     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 10/01/2031#AS8010                                          | CUSIP: 3138WH3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120702 | PA      | $114161.79    | 0.01%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM ARM 6.29% 3/36 #1G1852                                               | CUSIP: 3128QSBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44045 | PA      | $43776.77     | 0.00%             | 2036-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 8/23 #330297                                                   | CUSIP: 36224J3E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        740 | PA      | $742.91       | 0.00%             | 2023-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043               | CUSIP: 3136AA4A0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      74452 | PA      | $67801.27     | 0.01%             | 2043-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 5/41 #Q00753                                                   | CUSIP: 3132GDZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43805 | PA      | $43627.13     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AJAX MTG LN TR 2021-E                                       | AJAX MTG LN TR 2021-E 1.74% 12/25/2060 144A                               | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4003725 | PA      | $3341562.03   | 0.34%             | 2060-12-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 2% 01/01/2053 #TBA                                              | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   65950000 | PA      | $54296430.56  | 5.51%             | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2021                              | RMF BUYOUT ISSUANCE TRUST 2021 1.268% 11/25/2031 144A                     | CUSIP: 74969TAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     868103 | PA      | $821954.65    | 0.08%             | 2031-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.00% 9/41 #Q03358                                                   | CUSIP: 3132GJMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78176 | PA      | $75651.26     | 0.01%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 11/01/2051#RA6302                                            | CUSIP: 3133KNAB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3183469 | PA      | $2626728.47   | 0.27%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 01/01/2041#A96051                                          | CUSIP: 312944WL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     376093 | PA      | $374523.51    | 0.04%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 05/01/2039#                                                | CUSIP: 312933CQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17276 | PA      | $17191.14     | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 07/01/2043#Q20358                                          | CUSIP: 3132JMMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24385 | PA      | $23765.66     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 07/51#BQ1010                                                 | CUSIP: 3140KLDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     531803 | PA      | $439796.20    | 0.04%             | 2051-07-01      | Fixed         | 0.02%                 | 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        |      57431 | PA      | $56801.61     | 0.01%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2003-21 SK -1ML+810 3/33                                              | CUSIP: 31392JY37<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      16371 | PA      | $2057.20      | 0.00%             | 2033-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.00% 1/27 #256630                                                   | CUSIP: 31371NA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10346 | PA      | $10543.18     | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 10/28 #486253                                                  | CUSIP: 36210AE29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1729 | PA      | $1781.66      | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 02/01/2041#                                                  | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20112 | PA      | $17254.88     | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 03/01/2024#                                                | CUSIP: 31356A4S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        319 | PA      | $320.23       | 0.00%             | 2024-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 12/01/2032#BM5109                                            | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1535586 | PA      | $1472154.04   | 0.15%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C7                                     | UBSCM 2017-C7 XA CSTR 12/50                                               | CUSIP: 90276WAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11840642 | PA      | $421021.25    | 0.04%             | 2050-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 04/01/2046#Q40085                                          | CUSIP: 3132WDCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     237489 | PA      | $223660.17    | 0.02%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 6/41 #Q01208                                                   | CUSIP: 3132GEKV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33434 | PA      | $33267.57     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 02/01/2042#BU1292                                            | CUSIP: 3140M2NJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1421185 | PA      | $1203729.61   | 0.12%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 01/01/2052#FS0288                                            | CUSIP: 3140XFKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2607053 | PA      | $2151118.87   | 0.22%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 06/01/2048#ZM6780                                            | CUSIP: 3131Y1Q94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1098338 | PA      | $1056416.80   | 0.11%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 9/28 #469581                                                   | CUSIP: 36209EUE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2549 | PA      | $2632.30      | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 7/40 #739706                                                   | CUSIP: 3620ATYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42355 | PA      | $42764.05     | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 3.5% 12/01/2052 #TBA                                            | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   10200000 | PA      | $9345750.00   | 0.95%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 07/01/2048#Q59935                                            | CUSIP: 3132Y4BD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     295360 | PA      | $287672.76    | 0.03%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CMBX AAACDSIGEN 12                                            | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   12180000 | NC      | $120954.71    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 5/28 #476306                                                   | CUSIP: 36209NDK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        243 | PA      | $250.61       | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 10/40 #A94662                                                  | CUSIP: 312943FB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38931 | PA      | $38769.85     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 06/01/2029#                                                  | CUSIP: 31293R3X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3544 | PA      | $3624.79      | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 15YR 1.5% 12/01/2037 #TBA                                            | CUSIP: 01F0124C7<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -13600000 | PA      | $-11886234.08 | -1.21%            | 2037-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2010-150 ZC 4.75% 01/41                                               | CUSIP: 31397QAV0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     464460 | PA      | $461468.53    | 0.05%             | 2041-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY451600 12/16/72 B                                           | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     540000 | NC      | $7387.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 12/01/2032#FM1681                                          | CUSIP: 3140X42P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6765753 | PA      | $6399137.49   | 0.65%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN 2014 SER 4314 A1 5% 03/15/2034                            | CUSIP: 3137B9ED3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      29807 | PA      | $1057.49      | 0.00%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 05/20/2046#AT1323                                            | CUSIP: 36193YPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36635 | PA      | $34434.73     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 5/40 #004696                                                | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27997 | PA      | $27825.05     | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 05/01/2046#Q40647                                          | CUSIP: 3132WDWH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     331976 | PA      | $312333.20    | 0.03%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 08/01/2050#SD7523                                          | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3635754 | PA      | $3150954.16   | 0.32%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 4.375% 10/31/2024                                               | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5200000 | PA      | $5198781.22   | 0.53%             | 2024-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 01/01/2052#                                                | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     573391 | PA      | $526319.32    | 0.05%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AJAXM 2021-C                                                | AJAXM 2021-C 2.115% 01/25/2061 144A                                       | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     566246 | PA      | $530376.71    | 0.05%             | 2061-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 12/29 #495064                                                  | CUSIP: 36210K5Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        533 | PA      | $560.28       | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 11/01/2042#Q13654                                          | CUSIP: 3132HQBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22247 | PA      | $21695.66     | 0.00%             | 2042-11-01      | 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        |      18214 | PA      | $17586.46     | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 5.5% 10/15/2033                            | CUSIP: 31394KF41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1041545 | PA      | $1051467.90   | 0.11%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2.5% 12/01/2052 #TBA                                              | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   53950000 | PA      | $47334467.57  | 4.80%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.50% 4/32 #C01343                                                   | CUSIP: 31292HP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3214 | PA      | $3368.74      | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.252% 08/01/2041#                                              | CUSIP: 3138EPH64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224457 | PA      | $225830.53    | 0.02%             | 2041-08-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 1.5% 03/01/2041#RB5104                                          | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     326388 | PA      | $267560.58    | 0.03%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 09/01/2052#CB4682                                            | CUSIP: 3140QQFY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3171767 | PA      | $3195906.88   | 0.32%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.0% 10/45#MA3174                                                 | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5138 | PA      | $5019.88      | 0.00%             | 2045-10-20      | 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 5.5% 02/15/2035                            | CUSIP: 31395MRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     366141 | PA      | $377357.51    | 0.04%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 5% 04/48#784805                                                   | CUSIP: 3622AAGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     300763 | PA      | $308592.58    | 0.03%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CGDB COML MTG TR 2017-BIO                                   | CGDB COML MTG TR 2019-MOB A 1ML+100 11/15/2036 144A                       | CUSIP: 125284AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     390000 | PA      | $378718.90    | 0.04%             | 2036-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 03/01/2029#                                                  | CUSIP: 31293MFF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        283 | PA      | $289.22       | 0.00%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS       | GNR 2010-H18 AF 1ML+30 9/60                                               | CUSIP: 38375BER9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     158718 | PA      | $156678.99    | 0.02%             | 2060-09-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 1/29 #494945                                                   | CUSIP: 36210KZJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9372 | PA      | $9711.66      | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 07/01/2029#                                                  | CUSIP: 31293TGN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        153 | PA      | $156.31       | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 08/01/2046#BD1451                                            | CUSIP: 3140F8TH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128783 | PA      | $124592.01    | 0.01%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 01/01/2035#FM2286                                            | CUSIP: 3140X5RG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1420376 | PA      | $1352381.98   | 0.14%             | 2035-01-01      | Fixed         | 0.03%                 | 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        |      12577 | PA      | $11868.50     | 0.00%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM ARM 3.417% 12/01/2040#848392                                         | CUSIP: 31300LKD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     162289 | PA      | $162446.97    | 0.02%             | 2040-12-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 12/01/2051#SD8184                                            | CUSIP: 3132DWCV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2770222 | PA      | $2459589.91   | 0.25%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2010-139 NI 4.5% 2/40                                                 | CUSIP: 31398SVQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      43980 | PA      | $1217.26      | 0.00%             | 2040-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2018-HART                               | GS MTG SECS CORP TR 2018-HART 1ML+100 10/15/2031 144A                     | CUSIP: 36259DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     562000 | PA      | $529843.88    | 0.05%             | 2031-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 12/01/2052 #TBA                                              | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3600000 | PA      | $3339772.92   | 0.34%             | 2052-12-01      | 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        |       5739 | PA      | $5451.54      | 0.00%             | 2044-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2357 ZB 6.5% 9/31                                                     | CUSIP: 3133TUUS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      64023 | PA      | $65745.82     | 0.01%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 05/01/2051#SD7540                                          | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2688457 | PA      | $2323251.02   | 0.24%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 2/41 #AE6390                                                   | CUSIP: 31419HC42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     755425 | PA      | $730418.43    | 0.07%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 8/35 #255896                                                   | CUSIP: 31371MGD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8086 | PA      | $8639.80      | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 02/48#G61343                                                 | CUSIP: 31335BP42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     598303 | PA      | $578804.34    | 0.06%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 4/41 #Q00114                                                   | CUSIP: 3132GDDT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45525 | PA      | $45286.22     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.00% 9/36 #C02622                                                   | CUSIP: 31292J4F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     118459 | PA      | $124373.36    | 0.01%             | 2036-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 11/01/2042#AP8794                                          | CUSIP: 3138MCXY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12945 | PA      | $12216.44     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 6.50% 7/27 #256821                                              | CUSIP: 31371NG66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19154 | PA      | $19449.76     | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2019-GC41                             | CITIGROUP COML MTG TR 2019-GC41 CSTR 08/10/2056                           | CUSIP: 17328FBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2954549 | PA      | $138802.65    | 0.01%             | 2056-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 12/01/2052 #TBA                                              | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4000000 | PA      | $3918280.80   | 0.40%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 02/01/2043#Q15107                                          | CUSIP: 3132J6DM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20201 | PA      | $19700.29     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 3.5% 08/01/2034#C91782                                          | CUSIP: 3128P76T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     576627 | PA      | $556735.55    | 0.06%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 10/01/2039#AS3482                                            | CUSIP: 3138WC2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19007 | PA      | $18471.67     | 0.00%             | 2039-10-01      | 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        |      27624 | PA      | $26812.08     | 0.00%             | 2043-04-15      | 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        |      15351 | PA      | $14835.36     | 0.00%             | 2041-03-15      | 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        |     183459 | PA      | $169984.32    | 0.02%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 6/32 #648596                                                   | CUSIP: 31390KRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        696 | PA      | $749.45       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 3/28 #399895                                                   | CUSIP: 36205TGC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1538 | PA      | $1599.73      | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 6/28 #475838                                                   | CUSIP: 36209MS39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        190 | PA      | $191.34       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 7.00% 9/26 #G30299                                              | CUSIP: 3128CUKL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19049 | PA      | $19405.19     | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 01/01/2047#AL9776                                          | CUSIP: 3138ER2J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     741030 | PA      | $695384.34    | 0.07%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 6.50% 1/27 #D97164                                              | CUSIP: 3128E35Z3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11747 | PA      | $11915.17     | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 8/39 #721187                                                   | CUSIP: 3620A7F42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1830 | PA      | $1845.29      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 8/29 #508656                                                   | CUSIP: 36211CBZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2743 | PA      | $2769.49      | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.00% 7/33 #003426                                                | CUSIP: 36202DYX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19291 | PA      | $18714.32     | 0.00%             | 2033-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 11/01/2042#Q13121                                          | CUSIP: 3132HPPE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72103 | PA      | $70316.72     | 0.01%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 07/01/2050#RA2976                                          | CUSIP: 3133KJJV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3022090 | PA      | $2604007.80   | 0.26%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 12/23 #366649                                                  | CUSIP: 36204DH28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         17 | PA      | $16.96        | 0.00%             | 2023-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 09/01/2043#G08546                                            | CUSIP: 3128MJTC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7399 | PA      | $7206.16      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | 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        |        725 | PA      | $746.09       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-RPL4 TR                                           | CSMC 2020-RPL4 TR 2% 01/25/2060 144A                                      | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     296152 | PA      | $250189.29    | 0.03%             | 2060-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 01/01/2024#                                                | CUSIP: 31335GDZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $25.66        | 0.00%             | 2024-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2013-133 IB 3% 04/32                                                  | CUSIP: 3136AHQ94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      85603 | PA      | $2810.55      | 0.00%             | 2032-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 09/01/2033#                                                  | CUSIP: 31283HX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64927 | PA      | $67212.93     | 0.01%             | 2033-09-01      | Fixed         | 0.06%                 | 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        |      68859 | PA      | $66484.61     | 0.01%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 12/01/2051#CB2348                                            | CUSIP: 3140QMTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1125607 | PA      | $931217.19    | 0.09%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV3.25% MAC 12/21/24                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |    5299000 | NC      | $-48143.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 09/01/2046#BD1489                                            | CUSIP: 3140F8UP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134958 | PA      | $130566.54    | 0.01%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 6/41 #005082                                                | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14354 | PA      | $14268.63     | 0.00%             | 2041-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 07/01/2043#Q19690                                          | CUSIP: 3132JBF81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62818 | PA      | $61222.57     | 0.01%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 6.50% 5/27 #256738                                              | CUSIP: 31371NEK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7217 | PA      | $7325.55      | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TR 2021-1                            | UPSTART SECURITIZATION TR 2021-1 0.91% 06/20/2031 144A                    | CUSIP: 91680FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     457317 | PA      | $447536.24    | 0.05%             | 2031-06-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 12/01/2051#FM9865                                          | CUSIP: 3140XD6B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9044343 | PA      | $7780410.00   | 0.79%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 06/46#AS7008                                                 | CUSIP: 36193SYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44899 | PA      | $42203.09     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 6.50% 2/27 #256628                                              | CUSIP: 31371NA54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3564 | PA      | $3609.88      | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 4/40 #737191                                                   | CUSIP: 3620AQ7C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79670 | PA      | $80376.39     | 0.01%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                     | MNGT SWAP CMBX AAACDSIGEN 12/72                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    1220000 | NC      | $16690.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MHC COML MTG TR 2021-MHC                                    | MHC COML MTG TR 2021-MHC A 1ML+80.096 04/15/2026 144A                     | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6754485.50   | 0.69%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3% 12/01/2052 #TBA                                                | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14900000 | PA      | $13438840.44  | 1.36%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7.5% 11/01/2029#                                                | CUSIP: 31292G6T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3392 | PA      | $3578.56      | 0.00%             | 2029-11-01      | 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 4.0% 12/15/2040                            | CUSIP: 3137BJGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     380318 | PA      | $371738.87    | 0.04%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 02/01/2044#Q24546                                          | CUSIP: 3132M4WF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34459 | PA      | $33562.30     | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 4/1/43 #AT0648                                             | CUSIP: 3138WMWJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265209 | PA      | $250281.28    | 0.03%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2014-C24                                  | WFRBS 2014-C24 XA CSTR 11/47                                              | CUSIP: 92939KAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5913463 | PA      | $72707.20     | 0.01%             | 2047-11-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 10/01/2051#CB1801                                            | CUSIP: 3140QMAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6337482 | PA      | $5244995.81   | 0.53%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 05/20/2046#AS4758                                            | CUSIP: 36193PJB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27817 | PA      | $26146.43     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 04/01/2032#J36729                                            | CUSIP: 31307TPN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22286 | PA      | $21328.05     | 0.00%             | 2032-04-01      | 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        |     414276 | PA      | $376972.89    | 0.04%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.0% 11/20/2044#MA2372                                            | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1093109 | PA      | $1068948.14   | 0.11%             | 2044-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 7.00% 11/26 #C91010                                             | CUSIP: 3128P7DP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2251 | PA      | $2294.39      | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 04/01/2052#RA7142                                            | CUSIP: 3133KN5B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1261697 | PA      | $1043410.61   | 0.11%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC                           | CITIGROUP MTG LN TR 2014-8 VAR 06/27/2037 144A                            | CUSIP: 17323AAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     170668 | PA      | $165938.35    | 0.02%             | 2037-06-27      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 10/01/2050#CA7323                                            | CUSIP: 3140QFD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2295038 | PA      | $1911600.38   | 0.19%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 05/20/2050#MA6657                                            | CUSIP: 36179VME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13845971 | PA      | $12993975.52  | 1.32%             | 2050-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 10/01/2043#Q22677                                          | CUSIP: 3132JP6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40251 | PA      | $39203.20     | 0.00%             | 2043-10-01      | 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        |     143680 | PA      | $138760.13    | 0.01%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MFA 2022-RPL1 TR                                            | MFA 2022-RPL1 TR 3.3% 08/25/2061 144A                                     | CUSIP: 55285TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2300259 | PA      | $2075936.54   | 0.21%             | 2061-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 11/01/2046#BC9014                                          | CUSIP: 3140F5AQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1198938 | PA      | $1126959.31   | 0.11%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 12/01/2047#BJ4340                                            | CUSIP: 3140H5ZE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129298 | PA      | $124484.32    | 0.01%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 9/28 #484199                                                   | CUSIP: 36209W3G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        208 | PA      | $214.84       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 1/41 #AB2079                                                   | CUSIP: 31416XJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     859203 | PA      | $830734.78    | 0.08%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 3.0% 05/15/2043#AD0793                                          | CUSIP: 36180B3A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71629 | PA      | $66367.91     | 0.01%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 6/35 #003722                                                | CUSIP: 36202ED30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1587 | PA      | $1570.59      | 0.00%             | 2035-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2010-135 LS -1ML+605 12/40                                            | CUSIP: 31398SD91<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     125575 | PA      | $10706.22     | 0.00%             | 2040-12-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 03/01/2042#MA4570                                            | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4317890 | PA      | $3657209.82   | 0.37%             | 2042-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 6/32 #646424                                                   | CUSIP: 31390HD51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1215 | PA      | $1306.68      | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 10/40 #AE4645                                                  | CUSIP: 31419FET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41178 | PA      | $39836.53     | 0.00%             | 2040-10-01      | 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        |       2972 | PA      | $2807.80      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 08/01/2032#J37406                                            | CUSIP: 31307UGP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46658 | PA      | $44652.70     | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 02/20/2051#MA7192                                              | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3689742 | PA      | $3152148.47   | 0.32%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 09/01/2048#ZM8154                                            | CUSIP: 3131Y3BX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      84888 | PA      | $81913.44     | 0.01%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 05/20/2046#AS9183                                            | CUSIP: 36193VFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18285 | PA      | $17187.15     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GNR 2004-73 AL -1ML+720 8/34                                              | CUSIP: 38374H2N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      31609 | PA      | $3825.10      | 0.00%             | 2034-08-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 7/35 #255816                                                   | CUSIP: 31371MDV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1884 | PA      | $2011.72      | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 6/41 #Q01393                                                   | CUSIP: 3132GERN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74873 | PA      | $74513.76     | 0.01%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 4/42 #AK9701                                                   | CUSIP: 3138EEX79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70136 | PA      | $67740.85     | 0.01%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 06/20/2043#MA1092                                            | CUSIP: 36179NF94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2451 | PA      | $2436.56      | 0.00%             | 2043-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 12/01/2051#CB2320                                          | CUSIP: 3140QMSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1738403 | PA      | $1495463.59   | 0.15%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2021-SP1                            | NEW YORK MORTGAGE TRUST 2021-SP1 1.6696% 08/25/2061 144A                  | CUSIP: 62955RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     778674 | PA      | $691721.11    | 0.07%             | 2061-08-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2933 ZM 5.75% 02/15/2035                                              | CUSIP: 31395MT74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     326130 | PA      | $336157.84    | 0.03%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 9/28 #477463                                                   | CUSIP: 36209PML8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1073 | PA      | $1116.95      | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 02/01/2050#SD7512                                            | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9957577 | PA      | $8974812.05   | 0.91%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 10/01/2047#CA0607                                          | CUSIP: 3140Q7U96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6496458 | PA      | $6086139.31   | 0.62%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 05/01/2029#                                                  | CUSIP: 31293P6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1499 | PA      | $1535.11      | 0.00%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 01/01/2043#AQ9947                                          | CUSIP: 3138MSBR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43161 | PA      | $40731.36     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 02/01/2041#                                                | CUSIP: 3132GE5T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40472 | PA      | $40308.97     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 02/46#BC1354                                               | CUSIP: 3140EVQG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     356782 | PA      | $335696.91    | 0.03%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2015-GC33                             | CGCMT 2015-GC33 XA CSTR 09/58                                             | CUSIP: 29425AAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15891119 | PA      | $306979.86    | 0.03%             | 2058-09-10      | Variable      | 0.01%                 | 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        |      43558 | PA      | $43908.84     | 0.00%             | 2035-08-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 11/32#ZK9037                                                 | CUSIP: 3131XDBE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2153731 | PA      | $2054668.75   | 0.21%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 12/01/2045#BC4834                                          | CUSIP: 3140F0LQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2308 | PA      | $2169.95      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2013-134 SA 1ML+605 01/25/2044             | CUSIP: 3136AHTW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      69738 | PA      | $7598.61      | 0.00%             | 2044-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.00% 10/41 #Q04113                                                  | CUSIP: 3132GKGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39911 | PA      | $38601.83     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 12/40 #AH0851                                                  | CUSIP: 3138A15M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19063 | PA      | $18421.54     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 02/01/2046#AZ6451                                          | CUSIP: 3138YYEZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153242 | PA      | $144185.96    | 0.01%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 04/01/2043#Q17564                                          | CUSIP: 3132J8Z60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18554 | PA      | $17526.08     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 04/01/2049#BN6567                                          | CUSIP: 3140JPJM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68489 | PA      | $63868.80     | 0.01%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.0% 01/01/2045#AX7918                                          | CUSIP: 3138Y9YQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79933 | PA      | $77731.01     | 0.01%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 01/01/2047#BE7834                                          | CUSIP: 3140FTV40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188122 | PA      | $176769.69    | 0.02%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                 | GSMS 2021-IP A 1ML+105 10/15/2036 144A                                    | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1038000 | PA      | $966126.70    | 0.10%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHR 2104 PG 6% 12/28                                                      | CUSIP: 3133THA56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      30818 | PA      | $31323.45     | 0.00%             | 2028-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 07/01/2050#CA6416                                            | CUSIP: 3140QEDW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6596341 | PA      | $5928822.64   | 0.60%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNR 2011-83 DI 6% 9/26                                                    | CUSIP: 3136A0U39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        113 | PA      | $1.17         | 0.00%             | 2026-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 4.293% 3/35 #815586                                              | CUSIP: 31406PCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3636 | PA      | $3692.39      | 0.00%             | 2035-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 2.5% 01/01/2053 #TBA                                            | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   19200000 | PA      | $16422750.72  | 1.67%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2005-39 TE 5% 5/35                                                    | CUSIP: 31394DTZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     154104 | PA      | $156158.16    | 0.02%             | 2035-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 04/01/2051#MA4305                                            | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9329951 | PA      | $7704114.49   | 0.78%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 3/1/43#AR6743                                              | CUSIP: 3138W4P54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195085 | PA      | $184104.35    | 0.02%             | 2043-03-01      | 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        |      24780 | PA      | $23922.68     | 0.00%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 5.5% 12/01/2052 #TBA                                            | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   11900000 | PA      | $12035733.78  | 1.22%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 1/41 #AE9338                                                   | CUSIP: 31419LLU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31580 | PA      | $30540.53     | 0.00%             | 2041-01-01      | 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        |      79259 | PA      | $75317.14     | 0.01%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 7.00% 12/33 #G03583                                                  | CUSIP: 3128M5J43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31425 | PA      | $33727.80     | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 3.47% 3/40 #AD0820                                               | CUSIP: 31418M4E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14012 | PA      | $14101.52     | 0.00%             | 2040-03-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2.5% 04/01/2037#BM1257                                          | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5885040 | PA      | $5447900.67   | 0.55%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NYMT LN TR 2022-CP1                                         | NYMT LN TR 2022-CP1 2.0424% 07/25/2061 144A                               | CUSIP: 62955VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1393857 | PA      | $1232014.81   | 0.13%             | 2061-07-25      | Fixed         | 0.02%                 | 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        |       6520 | PA      | $6306.56      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 8/32 #663318                                                   | CUSIP: 31391C4B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50355 | PA      | $54173.16     | 0.01%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 6/36 #885763                                                   | CUSIP: 31410DB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31739 | PA      | $33697.50     | 0.00%             | 2036-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 12/28 #454249                                                  | CUSIP: 36208LTE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        822 | PA      | $838.79       | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4.0% 06/15/2042#AA0565                                          | CUSIP: 36177WTW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6607 | PA      | $6375.97      | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 3.5% 02/43 #Q15871                                                   | CUSIP: 3132J66H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86401 | PA      | $81612.78     | 0.01%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 8.00% 12/29 #252926                                                  | CUSIP: 31371H4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         31 | PA      | $32.56        | 0.00%             | 2029-12-01      | Fixed         | 0.08%                 | 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        |       3107 | PA      | $2952.35      | 0.00%             | 2044-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 07/01/2050#FM3897                                            | CUSIP: 3140X7KK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     884694 | PA      | $735503.95    | 0.07%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 05/01/2041#MA4333                                            | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21428 | PA      | $18309.67     | 0.00%             | 2041-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 9.00% 10/30 #567024                                                  | CUSIP: 31386L4H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36212 | PA      | $39071.99     | 0.00%             | 2030-10-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                           | SREIT TR 2021-MFP B 1ML+107.98 11/15/2038 144A                            | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     652000 | PA      | $617686.09    | 0.06%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 8.00% 3/25 #780089                                                   | CUSIP: 36225AC24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        102 | PA      | $103.38       | 0.00%             | 2025-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 07/01/2045#Q34458                                          | CUSIP: 3132QQ5U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     387456 | PA      | $378098.43    | 0.04%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 3/40 #737104                                                   | CUSIP: 3620AQ3M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83164 | PA      | $82352.32     | 0.01%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 9/40 #004801                                                | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     140272 | PA      | $139426.98    | 0.01%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.50% 11/39 #AC5442                                                  | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251637 | PA      | $250053.72    | 0.03%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.00% 7/26 #256384                                                   | CUSIP: 31371MXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1760 | PA      | $1782.46      | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2014-LC14                                 | WFRBS COML MTG TR 2014-LC14 VAR 03/15/2047                                | CUSIP: 96221TAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5372414 | PA      | $50621.57     | 0.01%             | 2047-03-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 5/29 #510903                                                   | CUSIP: 36211ERY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3623 | PA      | $3754.18      | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 12/01/2040#AE0698                                          | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180246 | PA      | $179269.44    | 0.02%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 12/01/2051#CB2346                                            | CUSIP: 3140QMTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1225177 | PA      | $1015123.97   | 0.10%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 05/01/2045#Q33801                                          | CUSIP: 3132QQGK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22782 | PA      | $21462.87     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042               | CUSIP: 3136AA2T1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      80204 | PA      | $72561.42     | 0.01%             | 2042-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 6/39 #AA9805                                                   | CUSIP: 31416T3P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4170 | PA      | $4038.74      | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2.5% 01/01/2053 #TBA                                              | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36075000 | PA      | $31678135.71  | 3.21%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 05/01/2050#FM3237                                          | CUSIP: 3140X6S36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     507753 | PA      | $469058.86    | 0.05%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                              | CUSIP: 38380HES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     967927 | PA      | $875925.38    | 0.09%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 03/01/2044#V81064                                          | CUSIP: 3132L6FD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4097 | PA      | $4101.37      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2015-C31                            | WFCM 2015-C31 XA CSTR 11/48                                               | CUSIP: 94989WAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7940950 | PA      | $174677.88    | 0.02%             | 2048-11-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 12/01/2032#BM5345                                            | CUSIP: 3140J95F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3618708 | PA      | $3465833.81   | 0.35%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 7.00% 12/26 #C91019                                             | CUSIP: 3128P7DY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12344 | PA      | $12567.24     | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2802 OB 6% 5/34                                                       | CUSIP: 31394YPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     144754 | PA      | $147584.24    | 0.01%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 7/29 #506350                                                   | CUSIP: 31383LQB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3868 | PA      | $4089.15      | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 3/42 #AK7441                                                   | CUSIP: 3138ECHT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49305 | PA      | $47628.34     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA FHAL 7% 12/28#252285                                                 | CUSIP: 31371HF29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1967 | PA      | $2024.95      | 0.00%             | 2028-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 4/1/43 #AT3073                                             | CUSIP: 3138WQMX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45775 | PA      | $43198.47     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 08/01/2046#AS7822                                          | CUSIP: 3138WHVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241274 | PA      | $226713.90    | 0.02%             | 2046-08-01      | 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        |      46237 | PA      | $44640.82     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 10/01/2052#FS3047                                            | CUSIP: 3140XJL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2198660 | PA      | $2209210.22   | 0.22%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 12/01/2051#CB2376                                          | CUSIP: 3140QMUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1399718 | PA      | $1203234.33   | 0.12%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2021-TY                                           | BPR TRUST 2021-TY TSFR1M+174.77 04/15/2024 144A                           | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2106000 | PA      | $2049253.41   | 0.21%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2007-66 SB -1ML+3960 7/37                                             | CUSIP: 31396WYZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      20509 | PA      | $24263.95     | 0.00%             | 2037-07-25      | Variable      | 0.16%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 10/01/2052#CB4843                                          | CUSIP: 3140QQLZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2073318 | PA      | $2100471.33   | 0.21%             | 2052-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 06/01/2042#MA4630                                            | CUSIP: 31418EEC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1456910 | PA      | $1233988.25   | 0.13%             | 2042-06-01      | Fixed         | 0.02%                 | 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        |      40427 | PA      | $39047.10     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 11/01/2050#CA7616                                            | CUSIP: 3140QFPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1354398 | PA      | $1120920.05   | 0.11%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 01/01/2046#G08687                                          | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     120978 | PA      | $113820.06    | 0.01%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 10/01/2051#CB1799                                            | CUSIP: 3140QL7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4804073 | PA      | $3983430.01   | 0.40%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 06/01/2044#AL5512                                          | CUSIP: 3138ENDS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110202 | PA      | $110219.46    | 0.01%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 5/32 #641058                                                   | CUSIP: 31390BE79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8074 | PA      | $8686.11      | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 03/01/2033#AB0066                                            | CUSIP: 31416VCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78322 | PA      | $78794.14     | 0.01%             | 2033-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCEANVIEW TRUST 2021-EB01                                   | OCEANVIEW TRUST 2021-EB01 VAR 12/29/2051 144A                             | CUSIP: 67647NAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | XX        |     837266 | PA      | $812147.26    | 0.08%             | 2051-12-29      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2051#MA4281                                            | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10892993 | PA      | $8998185.05   | 0.91%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 1.5% 02/01/2041#MA4266                                          | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     320562 | PA      | $262784.59    | 0.03%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 3002 NE 5% 7/35                                                       | CUSIP: 31395WMR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      98101 | PA      | $98574.33     | 0.01%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US 2YR NOTE (CBT) FUT MAR23 TUH3                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        277 | NC      | $153438.21    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 01/01/2037#FS2747                                          | CUSIP: 3140XJBR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2571109 | PA      | $2255579.65   | 0.23%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 08/01/2052#                                                  | CUSIP: 3133KPQD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5325123 | PA      | $5068207.03   | 0.51%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 7.00% 9/35 #A47784                                                   | CUSIP: 3128K8UH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40356 | PA      | $43008.65     | 0.00%             | 2035-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 6.50% 3/27 #256653                                              | CUSIP: 31371NBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1632 | PA      | $1654.05      | 0.00%             | 2027-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 11/39 #004577                                               | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4197 | PA      | $4168.96      | 0.00%             | 2039-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                              | CSMC 2018-SITE 4.284% 04/15/2036 144A                                     | CUSIP: 12690CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     672000 | PA      | $637363.04    | 0.06%             | 2036-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 2.691% 02/01/2042#AK2344                                         | CUSIP: 3138E6TA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17077 | PA      | $17177.56     | 0.00%             | 2042-02-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD      | FEDERAL HOME LN MTG CORP 4.5% 11/15/2040                                  | CUSIP: 3137BE3R3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     786061 | PA      | $769548.17    | 0.08%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 12/01/2051#FM9919                                            | CUSIP: 3140XEAV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1300544 | PA      | $1156335.80   | 0.12%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 06/01/2042#C04038                                          | CUSIP: 31292LPX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77824 | PA      | $73134.88     | 0.01%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6% 12/01/2052 #TBA                                              | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2000000 | PA      | $2045937.60   | 0.21%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.50% 3/30 #G02183                                                   | CUSIP: 3128LXM80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1108 | PA      | $1117.84      | 0.00%             | 2030-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 3% 12/01/2052 #TBA                                              | CUSIP: 01F0306C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   30100000 | PA      | $26645555.44  | 2.70%             | 2052-12-01      | Fixed         | 0.03%                 | 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        |      17412 | PA      | $16841.21     | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6                 | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 XA CSTR 12/10/2049            | CUSIP: 17291EBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12686137 | PA      | $227813.84    | 0.02%             | 2049-12-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 7.00% 2/27 #D97194                                              | CUSIP: 3128E37F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2398 | PA      | $2432.08      | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 1.5% 11/01/2050#QB6612                                          | CUSIP: 3133ADKZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     155972 | PA      | $121572.20    | 0.01%             | 2050-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 3.50% 4/42 #C03811                                                   | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1580367 | PA      | $1486237.00   | 0.15%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 12/01/2036#BU1384                                            | CUSIP: 3140M2RE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     532951 | PA      | $479910.53    | 0.05%             | 2036-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2996 ZD 5.5% 06/35                                                    | CUSIP: 31395UZR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     220617 | PA      | $226900.58    | 0.02%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 11/01/2045#AS6262                                          | CUSIP: 3138WF5Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8599 | PA      | $8088.42      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 8/40 #741372                                                   | CUSIP: 3620AVT51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82734 | PA      | $81948.70     | 0.01%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 05/51#SD7541                                                 | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20734639 | PA      | $17238054.96  | 1.75%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 8/39 #710465                                                   | CUSIP: 36297FJJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     331826 | PA      | $328105.43    | 0.03%             | 2039-08-15      | 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        |      13101 | PA      | $12374.25     | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 09/01/2050#SD8092                                            | CUSIP: 3132DV7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42729 | PA      | $38231.86     | 0.00%             | 2050-09-01      | Fixed         | 0.03%                 | 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        |       9784 | PA      | $9455.11      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM ARM 5.78% 10/35 #1N0063                                              | CUSIP: 3128QGB84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2700 | PA      | $2778.50      | 0.00%             | 2035-10-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 3.5% 12/01/2033#C91737                                          | CUSIP: 3128P74W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     310370 | PA      | $300148.31    | 0.03%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECS TR 2013-C14                             | JPMBB COML MTG SEC TR 2013 C14 AS 4.409% 08/15/2046                       | CUSIP: 46640LAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $685684.79    | 0.07%             | 2046-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.00% 3/42 #Q06886                                                   | CUSIP: 3132GR6X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108446 | PA      | $104932.66    | 0.01%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG 2013-51 GI 3% 10/25/2032                                     | CUSIP: 3136AECM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      92969 | PA      | $5920.99      | 0.00%             | 2032-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS       | GNMA 2017-H06 FA 12ML+35 08/66                                            | CUSIP: 38376RV60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1628318 | PA      | $1619806.17   | 0.16%             | 2066-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 20YR 3.5% 12/01/2036#BM3680                                     | CUSIP: 3140J8CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     325662 | PA      | $314150.89    | 0.03%             | 2036-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 06/01/2041#MA4364                                            | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21707 | PA      | $18548.47     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.0% 11/01/2040#AE8265                                          | CUSIP: 31419KFF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29789 | PA      | $28851.42     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5% 11/01/2052#SD1863                                            | CUSIP: 3132DPB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3300000 | PA      | $3326146.89   | 0.34%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.0% 03/01/2043#Q16470                                          | CUSIP: 3132J7T44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58374 | PA      | $53583.21     | 0.01%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.50% 10/39 #932130                                                  | CUSIP: 31412QST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147359 | PA      | $146175.84    | 0.01%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 0.0% 01/01/2042#AJ8357                                           | CUSIP: 3138E1JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29657 | PA      | $29856.06     | 0.00%             | 2042-01-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 07/01/2043#Q19764                                          | CUSIP: 3132JBJJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22203 | PA      | $21638.85     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | 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        |     551164 | PA      | $470515.22    | 0.05%             | 2051-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2587 IM 6.5% 3/33                                                     | CUSIP: 31393NA66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      29792 | PA      | $5339.18      | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 6/41 #748112                                                   | CUSIP: 3620C4DR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11721 | PA      | $11331.68     | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 03/01/2049#ZN6553                                            | CUSIP: 3131YDH64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1448486 | PA      | $1391842.42   | 0.14%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 07/01/2043#Q19597                                          | CUSIP: 3132JBDB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71072 | PA      | $69266.49     | 0.01%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 3/35 #808134                                                   | CUSIP: 31406EY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        868 | PA      | $912.67       | 0.00%             | 2035-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 03/01/2039#AV6581                                            | CUSIP: 3138XJJ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98917 | PA      | $96192.11     | 0.01%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 10/01/2044#AS3651                                          | CUSIP: 3138WDBV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95487 | PA      | $95197.63     | 0.01%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.0% 08/20/2043#MA1225                                            | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59171 | PA      | $57955.52     | 0.01%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 5.00% 11/33 #G01625                                                  | CUSIP: 31283HYW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     375974 | PA      | $378965.42    | 0.04%             | 2033-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 4/32 #632677                                                   | CUSIP: 31389Q2J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11531 | PA      | $12168.24     | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM ARM 12M+1.75 9/1/41 #1B8787                                          | CUSIP: 3128UHEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50420 | PA      | $50601.75     | 0.01%             | 2041-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#CB3038                                            | CUSIP: 3140QNLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392968 | PA      | $324120.91    | 0.03%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2% 04/01/2041#                                                  | CUSIP: 3133KYU98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3035345 | PA      | $2593672.38   | 0.26%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 3/41 #004978                                                | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25787 | PA      | $25631.93     | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 05/01/2043#Q18363                                          | CUSIP: 3132J9WZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12299 | PA      | $11986.24     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 09/42#G07184                                                 | CUSIP: 3128M9J52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3639939 | PA      | $3520718.87   | 0.36%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 08/01/2048#ZS4785                                            | CUSIP: 3132A5J63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     425128 | PA      | $408768.81    | 0.04%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.50% 10/32 #G01766                                                  | CUSIP: 31283H6B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42001 | PA      | $44121.57     | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 7.00% 11/34 #A45143                                                  | CUSIP: 3128K5WC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15273 | PA      | $16311.07     | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 12/01/2051#CB2321                                          | CUSIP: 3140QMSK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1590571 | PA      | $1365308.84   | 0.14%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 04/01/2041#AH4043                                          | CUSIP: 3138A5P55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77291 | PA      | $76788.43     | 0.01%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2218 ZB 6% 3/30                                                       | CUSIP: 3133TNM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      19672 | PA      | $19988.42     | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 10/01/2039#                                                | CUSIP: 312936C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21550 | PA      | $21457.98     | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CFMT 2020-HB4 LLC                                           | CFMT 2020-HB4 A LLC 0% 12/26/2030 144A                                    | CUSIP: 12529LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     310744 | PA      | $300213.03    | 0.03%             | 2030-12-26      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 4.5% 01/01/2053 #TBA                                            | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   10300000 | PA      | $10026411.40  | 1.02%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 9/41 #Q03529                                                   | CUSIP: 3132GJSS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17720 | PA      | $17789.48     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 04/01/2052#SD0958                                          | CUSIP: 3132DNB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26671279 | PA      | $24676240.90  | 2.50%             | 2052-04-01      | Fixed         | 0.04%                 | 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        |       4486 | PA      | $4508.42      | 0.00%             | 2036-11-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG2012-9 SH 1ML+655 06/25/2041                               | CUSIP: 3136A3M81<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      20790 | PA      | $260.41       | 0.00%             | 2041-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 03/01/2046#BM4980                                            | CUSIP: 3140J9RA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     525547 | PA      | $507753.75    | 0.05%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 7.00% 12/26 #256589                                             | CUSIP: 31371M7A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2386 | PA      | $2425.85      | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.00% 5/42 #Q08167                                                   | CUSIP: 3132GTMQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90588 | PA      | $87697.17     | 0.01%             | 2042-05-01      | Fixed         | 0.04%                 | 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        |       7035 | PA      | $7167.34      | 0.00%             | 2033-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 4% 01/01/2036#G30933                                            | CUSIP: 3132J4HK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     604637 | PA      | $595486.91    | 0.06%             | 2036-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHR 2095 PE 6% 11/28                                                      | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      99342 | PA      | $100985.48    | 0.01%             | 2028-11-15      | Fixed         | 0.06%                 | 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        |     296607 | PA      | $281854.78    | 0.03%             | 2043-03-20      | 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        |     150142 | PA      | $148696.43    | 0.02%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 02/52#RA6820                                                 | CUSIP: 3133KNSH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9624694 | PA      | $7938472.70   | 0.81%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 01/01/2024#                                                | CUSIP: 3139883S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        641 | PA      | $642.73       | 0.00%             | 2024-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US 5YR NOTE (CBT) FUT MAR23 FVH3                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -103 | NC      | $-67761.90    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 8/29 #513757                                                   | CUSIP: 36211HWS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        139 | PA      | $141.28       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 02/01/2052#FS0631                                            | CUSIP: 3140XFVZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1644464 | PA      | $1461093.86   | 0.15%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 05/51#QC1514                                                 | CUSIP: 3133AKVF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     594254 | PA      | $492370.43    | 0.05%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 6.50% 10/34 #605525                                                  | CUSIP: 36200NVS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53467 | PA      | $55998.69     | 0.01%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| THORNBURG MTG SECS TR                                       | TMST 2003-4 A1 1ML+64 9/43                                                | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     675037 | PA      | $626748.83    | 0.06%             | 2043-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 02/01/2024#                                                | CUSIP: 31335GEQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        345 | PA      | $346.27       | 0.00%             | 2024-02-01      | Fixed         | 0.07%                 | 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        |       3213 | PA      | $3373.83      | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.50% 3/32 #C64888                                                   | CUSIP: 31287QND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2982 | PA      | $3140.53      | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 11/01/2051#RA6308                                            | CUSIP: 3133KNAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     472342 | PA      | $390917.33    | 0.04%             | 2051-11-01      | Fixed         | 0.02%                 | 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        |       3542 | PA      | $3507.34      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 5.37% 6/36 #916726                                               | CUSIP: 31411WPK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42330 | PA      | $43183.29     | 0.00%             | 2036-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 10/01/2047#Q51296                                          | CUSIP: 3132XTNN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33294 | PA      | $33007.78     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 12/01/2051#BT9493                                            | CUSIP: 3140LYRP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     926434 | PA      | $766441.08    | 0.08%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 05/01/2039#                                                | CUSIP: 312933G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     218384 | PA      | $217230.26    | 0.02%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 5/46#Q40310                                                  | CUSIP: 3132WDKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     202228 | PA      | $184052.44    | 0.02%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CY451600 12/16/72 B                                             | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     760000 | NC      | $10397.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 02/01/2045#G07949                                            | CUSIP: 3128MAEW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     431557 | PA      | $421673.08    | 0.04%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 11/01/2042#Q13381                                          | CUSIP: 3132HPXJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2996 | PA      | $2935.56      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 05/01/2031#BC0919                                          | CUSIP: 3140EVAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120352 | PA      | $114055.78    | 0.01%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH CAPITAL SERVICES , INC.                       | MLCS SWAP CY451600 12/16/72 B                                             | CUSIP: N/A<br>LEI: GDWTXX036O1TB7DW3U69       | N/A              | DCR              | CORP              | US        |    3020000 | NC      | $41315.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TR 2021-1                            | UPSTART SECURITIZATION TR 2021-1 0.87% 03/20/2031 144A                    | CUSIP: 91681NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      10453 | PA      | $10397.91     | 0.00%             | 2031-03-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 05/01/2024#                                                | CUSIP: 31335GE50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        296 | PA      | $297.96       | 0.00%             | 2024-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 6.50% 7/36 #658019                                                   | CUSIP: 36294SAU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        858 | PA      | $906.10       | 0.00%             | 2036-07-15      | Fixed         | 0.07%                 | 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        |     419746 | PA      | $358719.96    | 0.04%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNR 1993-165SH -2.81ML+2K 9/23                                            | CUSIP: 31359D5R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        747 | PA      | $745.04       | 0.00%             | 2023-09-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 15YR 1.5% 01/01/2038 #TBA                                            | CUSIP: 01F012411<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   13600000 | PA      | $11904826.64  | 1.21%             | 2038-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 07/01/2035#SB8065                                          | CUSIP: 3132D56A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     588014 | PA      | $517138.24    | 0.05%             | 2035-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.0% 12/01/2044#AX5347                                          | CUSIP: 3138Y65H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     425338 | PA      | $413357.30    | 0.04%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                     | MNGT SWAP CY451600 12/16/72 B                                             | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    1200000 | NC      | $16416.72     | 0.00%             |  |  |  | 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        |       7976 | PA      | $7699.93      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 7/28 #481798                                                   | CUSIP: 36209UGF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2075 | PA      | $2136.16      | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 04/01/2037#FS1697                                            | CUSIP: 3140XG3F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1240240 | PA      | $1170792.40   | 0.12%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 3.5% 07/01/2032#C91467                                          | CUSIP: 3128P7TY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1293607 | PA      | $1251812.86   | 0.13%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 07/01/2050#CA6417                                            | CUSIP: 3140QEDX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4137449 | PA      | $3708415.31   | 0.38%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 15YR 2% 12/01/2037 #TBA                                              | CUSIP: 01F0204C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   34250000 | PA      | $30767206.55  | 3.12%             | 2037-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 06/47#BH1008                                               | CUSIP: 3140GPDN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14534 | PA      | $14404.21     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25 | MSBAM 2015-C25 XA CSTR 10/48                                              | CUSIP: 61765TAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9271436 | PA      | $187905.12    | 0.02%             | 2048-10-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 11/41 #005234                                               | CUSIP: 36202FY75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1622 | PA      | $1631.17      | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 4/32 #638545                                                   | CUSIP: 31389XL27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3330 | PA      | $3583.02      | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3.5% 02/01/2034#G16752                                          | CUSIP: 3128MFWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     779153 | PA      | $753784.23    | 0.08%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CY451600 12/16/72 B                                             | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    1330000 | NC      | $18195.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 11/01/2036#FS1970                                          | CUSIP: 3140XHFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7492314 | PA      | $6952872.17   | 0.71%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 3949 MK 4.5% 10/34                                                    | CUSIP: 3137AFZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      68534 | PA      | $68069.32     | 0.01%             | 2034-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                 | BAMLL COML MTG SECS TR 2019 3.465% 11/05/2032 144A                        | CUSIP: 05492PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     118000 | PA      | $104115.00    | 0.01%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 05/01/2051#FM7352                                          | CUSIP: 3140XBE22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3736936 | PA      | $3224631.38   | 0.33%             | 2051-05-01      | Fixed         | 0.03%                 | 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        |      11197 | PA      | $10640.18     | 0.00%             | 2043-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.0% 06/01/2041#AI5034                                          | CUSIP: 3138AJSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19360 | PA      | $19713.30     | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 10/01/2048#ZM8580                                            | CUSIP: 3131Y3Q90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     506259 | PA      | $486303.20    | 0.05%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 3/35 #255661                                                   | CUSIP: 31371L5W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        867 | PA      | $919.90       | 0.00%             | 2035-03-01      | Fixed         | 0.07%                 | 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        |      19255 | PA      | $18607.48     | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 7/29 #514330                                                   | CUSIP: 36211JLK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        282 | PA      | $292.13       | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 03/01/2046#G60440                                          | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1742510 | PA      | $1644853.77   | 0.17%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 8/25 #318167                                                   | CUSIP: 31374MMQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        186 | PA      | $189.53       | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 12/01/2042#AQ8878                                          | CUSIP: 3138MQ2L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25196 | PA      | $23778.15     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 1/41 #004946                                                | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     256418 | PA      | $254879.11    | 0.03%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 06/01/2029#                                                  | CUSIP: 31293RUJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        745 | PA      | $761.43       | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 12/01/2046#AL9489                                          | CUSIP: 3138ERRK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234229 | PA      | $219800.61    | 0.02%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7.5% 11/01/2029#                                                | CUSIP: 31293YAH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        627 | PA      | $656.79       | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GOVERNMENT NAT MTG AS REMIC PT 1ML+50 10/20/2049                          | CUSIP: 38382AFL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     295102 | PA      | $289390.76    | 0.03%             | 2049-10-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 09/01/2046#BD0711                                          | CUSIP: 3140F7YH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113732 | PA      | $106904.09    | 0.01%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 07/01/2042#Q09230                                            | CUSIP: 3132GUST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     755965 | PA      | $730993.36    | 0.07%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 03/46#BC1776                                                 | CUSIP: 3140EV6N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81307 | PA      | $78940.21     | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 11/01/2051#BQ6772                                            | CUSIP: 3140KSQ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1106624 | PA      | $913437.89    | 0.09%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECS TR 2014-C19                             | JPMBB COML MTG SES TR 2014-C19 VAR 04/15/2047                             | CUSIP: 46641WAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2624467 | PA      | $14910.65     | 0.00%             | 2047-04-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 8/41 #Q02849                                                   | CUSIP: 3132GGEW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6741 | PA      | $6713.45      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 06/20/2046#AR3125                                            | CUSIP: 36192XPJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46594 | PA      | $43796.15     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 09/01/2042#AL5881                                          | CUSIP: 3138ENRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72070 | PA      | $71680.06     | 0.01%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 1.5% 12/01/2050#QB7301                                          | CUSIP: 3133AEDE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102135 | PA      | $79609.05     | 0.01%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 1.5% 11/01/2041#MA4473                                          | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6486422 | PA      | $5280841.71   | 0.54%             | 2041-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 5.00% 1/35 #G06928                                                   | CUSIP: 3128M9A51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37472 | PA      | $37802.91     | 0.00%             | 2035-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 5/32 #254335                                                   | CUSIP: 31371KPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17486 | PA      | $18678.65     | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 6/40 #782989                                                   | CUSIP: 36241LKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     277934 | PA      | $275258.92    | 0.03%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CGDB COML MTG TR 2017-BIO                                   | CGDBB COML MTG TR 2019-MOB B 1ML+125 11/15/36 144A                        | CUSIP: 125284AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $481136.25    | 0.05%             | 2036-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 05/01/2046#G60603                                          | CUSIP: 31335AU48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1356657 | PA      | $1277657.43   | 0.13%             | 2046-05-01      | 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        |     142723 | PA      | $141366.82    | 0.01%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 11/01/2051#FM9501                                          | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5530546 | PA      | $4757660.63   | 0.48%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 8.00% 7/25 #406831                                                   | CUSIP: 36206B4Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        204 | PA      | $206.16       | 0.00%             | 2025-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 2/1/43 #AR5859                                             | CUSIP: 3138W3QM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34345 | PA      | $32411.68     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 3/42 #AK5316                                                   | CUSIP: 3138E94A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38330 | PA      | $37005.23     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 5.0% 06/15/2041#783838                                          | CUSIP: 3622A2HP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25174 | PA      | $25353.44     | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4% 05/20/2048#MA5192                                              | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1120110 | PA      | $1082050.51   | 0.11%             | 2048-05-20      | Fixed         | 0.04%                 | 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        |      77390 | PA      | $81058.61     | 0.01%             | 2032-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 1/1/43 #Q14696                                               | CUSIP: 3132HRGD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121823 | PA      | $111825.87    | 0.01%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 2/42 #AK3548                                                   | CUSIP: 3138E75J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15495 | PA      | $14971.18     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.0% 09/01/2033#AL7521                                          | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1711014 | PA      | $1723833.48   | 0.17%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES   | FNS 351 13 6% 3/34                                                        | CUSIP: 3136FCJC1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      33421 | PA      | $6271.95      | 0.00%             | 2034-03-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 4.50% 7/25 #G13844                                              | CUSIP: 3128MCP58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50683 | PA      | $50231.35     | 0.01%             | 2025-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 7/40 #745232                                                   | CUSIP: 3620C04R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      94225 | PA      | $93330.30     | 0.01%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 06/01/2050#CA5966                                          | CUSIP: 3140QDTY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3212788 | PA      | $2784387.43   | 0.28%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 3/42 #AK1510                                                   | CUSIP: 3138E5VC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50632 | PA      | $48916.38     | 0.00%             | 2042-03-01      | 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        |      95475 | PA      | $90129.50     | 0.01%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 1.5% 03/01/2051#SD8133                                          | CUSIP: 3132DWBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2264380 | PA      | $1764971.57   | 0.18%             | 2051-03-01      | Fixed         | 0.01%                 | 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        |      84568 | PA      | $81742.22     | 0.01%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 1/28 #462495                                                   | CUSIP: 36208VXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        114 | PA      | $116.88       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 6.50% 5/26 #C90975                                              | CUSIP: 3128P7CL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4120 | PA      | $4166.76      | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7.5% 01/01/2027#                                                | CUSIP: 31283GW60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        241 | PA      | $247.17       | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                | Fidelity Cash Central Fund                                                | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  250930981 | NS      | $250981166.74 | 25.47%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2274 ZM 6.5% 1/31                                                     | CUSIP: 3133TR4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      30725 | PA      | $31158.60     | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.50% 1/32 #C62372                                                   | CUSIP: 31287MT59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54160 | PA      | $56870.31     | 0.01%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2001-20 Z 6% 5/31                                                     | CUSIP: 31359SXB1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      83454 | PA      | $84922.90     | 0.01%             | 2031-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 09/39#G05624                                               | CUSIP: 3128M7SM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69232 | PA      | $68861.52     | 0.01%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 09/01/2046#BD7792                                          | CUSIP: 3140FFUS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     301617 | PA      | $283509.66    | 0.03%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 3/42 #AL1521                                                   | CUSIP: 3138EHVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350097 | PA      | $338210.50    | 0.03%             | 2042-03-01      | Fixed         | 0.04%                 | 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        |    8695840 | PA      | $7668796.19   | 0.78%             | 2051-07-20      | Fixed         | 0.03%                 | 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        |      47807 | PA      | $47353.24     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 15YR 2% 01/01/2038 #TBA                                              | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   20650000 | PA      | $18573547.51  | 1.88%             | 2038-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 8.00% 12/24 #403684                                                  | CUSIP: 36205XM92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3673 | PA      | $3725.64      | 0.00%             | 2024-12-15      | Fixed         | 0.08%                 | 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        |     227059 | PA      | $219447.15    | 0.02%             | 2040-10-15      | 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        |     819486 | PA      | $793569.61    | 0.08%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 1ML+ 06/25/2035                            | CUSIP: 31394D4V9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     134087 | PA      | $11663.41     | 0.00%             | 2035-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 3.50% 10/42 #AP7882                                                  | CUSIP: 3138MBXL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143399 | PA      | $134549.24    | 0.01%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2520 BE 6% 11/32                                                      | CUSIP: 31392XV96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      71975 | PA      | $74278.20     | 0.01%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 12/01/2051#QD3168                                            | CUSIP: 3133B0QV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     758675 | PA      | $627654.06    | 0.06%             | 2051-12-01      | Fixed         | 0.02%                 | 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        |      10580 | PA      | $11106.48     | 0.00%             | 2032-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 08/01/2041#Q02721                                          | CUSIP: 3132GGAW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7668 | PA      | $7419.30      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | 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        |      20548 | PA      | $1491.64      | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 3.50% 9/42 #AP3391                                                   | CUSIP: 3138M6XV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36261 | PA      | $34066.82     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2006 FL12                                              | COMM 2014-CR20 XA CSTR 11/10/2047                                         | CUSIP: 12592LBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3620254 | PA      | $50556.12     | 0.01%             | 2047-11-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 02/01/2049#BM5577                                            | CUSIP: 3140JAFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     571247 | PA      | $581681.54    | 0.06%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 03/47#Q46995                                               | CUSIP: 3132WLXZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31476 | PA      | $31254.67     | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                           | MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A                | CUSIP: 61771LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     165000 | PA      | $148936.18    | 0.02%             | 2036-11-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 02/01/2047#Q47737                                          | CUSIP: 3132WMS39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29366 | PA      | $29159.14     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 09/01/2042#Q11138                                          | CUSIP: 3132HMHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39481 | PA      | $38244.09     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIT MTG LN TR 2007-1                                        | CIT MORTGAGE LOAN TRUST 2007-1 1A 1ML+135 10/25/2037 144A                 | CUSIP: 12559QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     453579 | PA      | $450178.16    | 0.05%             | 2037-10-25      | Variable      | 0.05%                 | 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        |      15029 | PA      | $14596.59     | 0.00%             | 2042-12-15      | Fixed         | 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        |     375148 | PA      | $60782.71     | 0.01%             | 2041-04-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 03/46#BM3928                                               | CUSIP: 3140J8LJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1243187 | PA      | $1235449.14   | 0.13%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                           | SREIT TR 2021-MFP 1ML+73.08 11/15/2038 144A                               | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1138000 | PA      | $1087375.73   | 0.11%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 04/01/2048#Q55720                                            | CUSIP: 3132XYLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15562 | PA      | $15039.96     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 3297 BI 1ML+676 4/37                                                  | CUSIP: 31397GRY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     213364 | PA      | $26806.76     | 0.00%             | 2037-04-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.00% 10/26 #256507                                                  | CUSIP: 31371M3Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9277 | PA      | $9427.28      | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2.5% 12/01/2052 #TBA                                              | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -46100000 | PA      | $-40447061.26 | -4.10%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FGLMC 30YR 3.5% 09/46#Q43176                                              | CUSIP: 3132WGQ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     301745 | PA      | $283608.49    | 0.03%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 08/01/2050#FM7147                                          | CUSIP: 3140XA5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4117906 | PA      | $3841409.56   | 0.39%             | 2050-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 1.5% 12/01/2040#RB5089                                          | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     189211 | PA      | $155108.55    | 0.02%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 1.5% 12/01/2052 #TBA                                            | CUSIP: 01F0126C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   33150000 | PA      | $25750959.78  | 2.61%             | 2052-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 02/01/2035#FM2502                                          | CUSIP: 3140X5X81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1040988 | PA      | $970591.58    | 0.10%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4.0% 12/15/2040#746175                                          | CUSIP: 3620C16L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21263 | PA      | $20554.17     | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 8.00% 10/25 #387082                                                  | CUSIP: 36205C6T2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        619 | PA      | $632.96       | 0.00%             | 2025-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 8.00% 9/24 #385903                                                   | CUSIP: 36205BU42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $2.35         | 0.00%             | 2024-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 1.5% 01/01/2041#MA4231                                          | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     316128 | PA      | $259150.08    | 0.03%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.0% 12/20/44#MA2446                                              | CUSIP: 36179QWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29241 | PA      | $28594.46     | 0.00%             | 2044-12-20      | Fixed         | 0.04%                 | 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        |       5191 | PA      | $4933.10      | 0.00%             | 2043-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 1.5% 12/01/2040#MA4202                                          | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     310948 | PA      | $254903.30    | 0.03%             | 2040-12-01      | Fixed         | 0.01%                 | 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        |     476748 | PA      | $453036.00    | 0.05%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 1.5% 12/01/2052 #TBA                                            | CUSIP: 01F0126C5<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -1700000 | PA      | $-1320562.04  | -0.13%            | 2052-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 12/46#BC9077                                               | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1211297 | PA      | $1136683.64   | 0.12%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 07/46#AS7533                                                 | CUSIP: 3138WHLP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1844749 | PA      | $1677381.42   | 0.17%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 10/01/2035#BK5705                                            | CUSIP: 3140HKKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1297653 | PA      | $1171347.09   | 0.12%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7.5% 04/01/2030#                                                | CUSIP: 31292HCG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.42         | 0.00%             | 2030-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 08/01/2031#BC2778                                          | CUSIP: 3140EXCQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172612 | PA      | $163258.83    | 0.02%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 12/01/2051#RA6510                                            | CUSIP: 3133KNGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1562010 | PA      | $1292254.79   | 0.13%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 12/01/2051#CB2350                                            | CUSIP: 3140QMTG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1592820 | PA      | $1315255.48   | 0.13%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 3.5% 07/15/2043#AC1095                                          | CUSIP: 36179AGC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38796 | PA      | $36766.64     | 0.00%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2007-57 SA 4062-6*1ML 6/37                                            | CUSIP: 31396WJV9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      83559 | PA      | $110722.91    | 0.01%             | 2037-06-25      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                 | UNITED STATES TREASURY BOND 2% 11/15/2041                                 | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     600000 | PA      | $436992.19    | 0.04%             | 2041-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 09/01/2051#QC7496                                            | CUSIP: 3133ASKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47114 | PA      | $41874.75     | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 09/01/2043#Q21605                                          | CUSIP: 3132JNYA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60319 | PA      | $58786.34     | 0.01%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 09/01/2049#BN7756                                            | CUSIP: 3140JQTN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4065911 | PA      | $3651919.19   | 0.37%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 06/01/2044#Q26541                                          | CUSIP: 3132M65A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33430 | PA      | $32539.33     | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 12/01/2047#G61305                                            | CUSIP: 31335BNW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1360316 | PA      | $1311732.55   | 0.13%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 06/20/2046#AS4297                                            | CUSIP: 36193NX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     119675 | PA      | $112488.55    | 0.01%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 8/39 #698474                                                   | CUSIP: 36296Q6K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     212377 | PA      | $210190.44    | 0.02%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 8/41 #Q02511                                                   | CUSIP: 3132GFYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9342 | PA      | $9286.65      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 04/20/46#AS7319                                              | CUSIP: 36193TDY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31353 | PA      | $29499.88     | 0.00%             | 2046-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 5/39 #G05457                                                   | CUSIP: 3128M7ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99829 | PA      | $99241.62     | 0.01%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 2% 12/01/2052 #TBA                                              | CUSIP: 01F0206C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  115425000 | PA      | $94929848.44  | 9.63%             | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 2/42 #AK2525                                                   | CUSIP: 3138E6YX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33470 | PA      | $32362.41     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 10/01/2046#BE4159                                            | CUSIP: 3140FPTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104991 | PA      | $101803.70    | 0.01%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 4.5% 12/01/2052 #TBA                                            | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   23050000 | PA      | $22437745.90  | 2.28%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2011-4 PZ 5% 2/41                                                     | CUSIP: 31397QKY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     152461 | PA      | $147260.30    | 0.01%             | 2041-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 10/41 #AJ3485                                                  | CUSIP: 3138AU2T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26301 | PA      | $25403.15     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 06/01/2039#AS2599                                            | CUSIP: 3138WB3H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28561 | PA      | $27774.38     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 07/01/2029#                                                  | CUSIP: 31293SRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8061 | PA      | $8263.63      | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | 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        |     175035 | PA      | $170686.23    | 0.02%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 3336 LI 1ML+658 6/37                                                  | CUSIP: 31397J7J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      87765 | PA      | $9752.27      | 0.00%             | 2037-06-15      | Variable      | 0.03%                 | 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        |     320228 | PA      | $318300.22    | 0.03%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% #AL9282                                                      | CUSIP: 3138ERJ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42292 | PA      | $40995.07     | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 03/01/2041#AH7219                                          | CUSIP: 3138A9AV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165925 | PA      | $164844.39    | 0.02%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 5/39 #713327                                                   | CUSIP: 36297JPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58605 | PA      | $59054.05     | 0.01%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 7.00% 7/29 #C47273                                                   | CUSIP: 31298GCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33945 | PA      | $35577.52     | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | 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        |     645414 | PA      | $616210.70    | 0.06%             | 2040-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 1658 GZ 7 1/24                                                        | CUSIP: 3133T3TD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      15007 | PA      | $15278.45     | 0.00%             | 2024-01-15      | Fixed         | 0.07%                 | 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        |    4672632 | PA      | $4243298.64   | 0.43%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.0% 08/20/2045#MA3035                                            | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     703020 | PA      | $686821.53    | 0.07%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 5.00% 12/34 #G05423                                                  | CUSIP: 3128M7LC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148090 | PA      | $149544.64    | 0.02%             | 2034-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.50% 12/38 #782537                                                  | CUSIP: 36241KZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2800 | PA      | $2891.78      | 0.00%             | 2038-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 15YR 2.5% 12/01/2037 #TBA                                            | CUSIP: 01F0224C6<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -4200000 | PA      | $-3879093.96  | -0.39%            | 2037-12-01      | Fixed         | 0.03%                 | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 09/01/2048#ZM8169                                            | CUSIP: 3131Y3CE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     536118 | PA      | $517330.67    | 0.05%             | 2048-09-01      | 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        |     247950 | PA      | $239496.41    | 0.02%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTOWN 2022-STAY MORTGAGE TRUST                             | INTOWN 2022-STAY MORTGAGE TRUST TSFR1M+223.92 08/15/2037 144A             | CUSIP: 46117NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1654000 | PA      | $1637419.97   | 0.17%             | 2039-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 11/01/2043#Q23023                                          | CUSIP: 3132M3AY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     413041 | PA      | $404485.38    | 0.04%             | 2043-11-01      | Fixed         | 0.04%                 | 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        |      54694 | PA      | $50574.15     | 0.01%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 06/47#Q48877                                                 | CUSIP: 3132WN2K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     395840 | PA      | $384794.94    | 0.04%             | 2047-06-01      | Fixed         | 0.04%                 | 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        |     182583 | PA      | $180849.44    | 0.02%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY451600 12/16/72 B                                           | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    1620000 | NC      | $22162.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHC COML MTG TR 2019-CHC                                    | CHC COML MTG TR 2019-CHC A 1ML+112 06/15/2034                             | CUSIP: 162665AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1298197 | PA      | $1272870.64   | 0.13%             | 2034-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2.5% 03/01/2040#MA3965                                          | CUSIP: 31418DMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     839382 | PA      | $750539.98    | 0.08%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 01/01/2024#                                                | CUSIP: 31335GC45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        111 | PA      | $111.25       | 0.00%             | 2024-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COMM 2014-LC17 MTG TR                                       | COMM 2014-LC17 XA CSTR 10/47                                              | CUSIP: 12592MBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10729050 | PA      | $100466.82    | 0.01%             | 2047-10-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2.5% 10/01/2037#BM1951                                          | CUSIP: 3140J6EZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     342600 | PA      | $317151.36    | 0.03%             | 2037-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 5/42 #MA0090                                                | CUSIP: 36179MC32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25286 | PA      | $25135.29     | 0.00%             | 2042-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 2/29 #488964                                                   | CUSIP: 36210DFD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        782 | PA      | $817.48       | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 8/33 #604574                                                   | CUSIP: 36200MT78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        440 | PA      | $433.53       | 0.00%             | 2033-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 11/01/2043#AV0047                                          | CUSIP: 3138XBBR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23657 | PA      | $23682.99     | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 01/01/2052#RA6622                                          | CUSIP: 3133KNLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3750368 | PA      | $3223915.83   | 0.33%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 10/49#CA4421                                                 | CUSIP: 3140QB4F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2078403 | PA      | $1866779.20   | 0.19%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 11/01/2051#QD0399                                            | CUSIP: 3133AWNQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     307673 | PA      | $254635.01    | 0.03%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 10/28 #483492                                                  | CUSIP: 36209WC59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1738 | PA      | $1812.12      | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 10/28 #434035                                                  | CUSIP: 36207KEG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        350 | PA      | $364.11       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4% 11/15/2041#656540                                            | CUSIP: 36294QLV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2854 | PA      | $2788.11      | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.00% 4/32 #C01344                                                   | CUSIP: 31292HP57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54460 | PA      | $56300.22     | 0.01%             | 2032-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 7.00% 8/26 #256430                                              | CUSIP: 31371MY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7157 | PA      | $7284.49      | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 3/32 #639704                                                   | CUSIP: 31389YU58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4586 | PA      | $4916.57      | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 03/01/2033#BM4614                                            | CUSIP: 3140J9DU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     333099 | PA      | $318506.23    | 0.03%             | 2033-03-01      | Fixed         | 0.03%                 | 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        |      21345 | PA      | $20615.28     | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 5% 12/01/2052 #TBA                                              | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   22300000 | PA      | $22202426.35  | 2.25%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                              | EXTENDED STAY AMER TR 2021-ESH A 1ML+108 07/15/2038 144A                  | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     904930 | PA      | $870331.09    | 0.09%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 4/41 #A97942                                                   | CUSIP: 312946ZF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39447 | PA      | $39282.92     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 04/01/2048#Q55141                                            | CUSIP: 3132XXWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9302 | PA      | $8990.03      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.00% 11/26 #256546                                                  | CUSIP: 31371M5F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1927 | PA      | $1965.48      | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.00% 12/40 #004882                                               | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6204 | PA      | $6008.06      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 04/01/2046#Q39717                                            | CUSIP: 3132QWYP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70816 | PA      | $64451.03     | 0.01%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA STRIPPED MTG BKD SECS                                  | FNS 384 6 5% 7/37                                                         | CUSIP: 3136FER61<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      64435 | PA      | $11142.19     | 0.00%             | 2037-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 09/49#BJ9513                                               | CUSIP: 3140HBSB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1520482 | PA      | $1418864.42   | 0.14%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 7.00% 1/36 #A54473                                                   | CUSIP: 3128KG6J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18174 | PA      | $19337.65     | 0.00%             | 2036-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 06/20/2050#MA6711                                            | CUSIP: 36179VN48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23722977 | PA      | $22263212.38  | 2.26%             | 2050-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 04/01/2041#                                                  | CUSIP: 31418DYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21140 | PA      | $18063.68     | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 07/01/2046#BC6148                                            | CUSIP: 3140F1ZN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104053 | PA      | $100764.68    | 0.01%             | 2046-07-01      | 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        |      15885 | PA      | $15338.10     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 4/1/43 #AT0668                                             | CUSIP: 3138WMW64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37848 | PA      | $35717.86     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 4/42 #AK6409                                                   | CUSIP: 3138EBDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54777 | PA      | $52899.22     | 0.01%             | 2042-04-01      | 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        |     208189 | PA      | $206185.06    | 0.02%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FGLMC 3871 KB 5.5% 06/41                                                  | CUSIP: 3137AC7K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     379478 | PA      | $394734.40    | 0.04%             | 2041-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 15YR 2.5% 12/01/2037 #TBA                                            | CUSIP: 01F0224C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    4200000 | PA      | $3879093.96   | 0.39%             | 2037-12-01      | Fixed         | 0.03%                 | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM ARM 6.36% 7/36 #1B7105                                               | CUSIP: 3128QPH96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29420 | PA      | $29772.01     | 0.00%             | 2036-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 5% 12/01/2052 #TBA                                              | CUSIP: 01F0506C5<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -17600000 | PA      | $-17522991.20 | -1.78%            | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES   | FNS 348 14 6.5% 8/34                                                      | CUSIP: 3136FCEU6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      36652 | PA      | $7366.50      | 0.00%             | 2034-08-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 10/41 #Q03643                                                  | CUSIP: 3132GJWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170225 | PA      | $170888.56    | 0.02%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 10/01/2049#QA3257                                            | CUSIP: 31339STN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     527551 | PA      | $473836.07    | 0.05%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BN35                                              | BANK 2021-BN35 2.285% 06/15/2064                                          | CUSIP: 06540CBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13000 | PA      | $10439.54     | 0.00%             | 2064-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2154 PT 6% 5/29                                                       | CUSIP: 3133TKW97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      77314 | PA      | $78644.84     | 0.01%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY451600 12/16/72 B                                           | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     630000 | NC      | $8618.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 04/01/2048#Q55504                                            | CUSIP: 3132XYDJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34276 | PA      | $33126.54     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 3.5% 06/01/2032#C91456                                          | CUSIP: 3128P7TM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1365441 | PA      | $1321325.45   | 0.13%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2005-79 ZC 5.9% 09/25/2035                 | CUSIP: 31394FGT6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     141528 | PA      | $143614.54    | 0.01%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US LONG BOND(CBT) FUT MAR23 USH3                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -319 | NC      | $-455789.69   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 4/28 #458840                                                   | CUSIP: 36208RV92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        986 | PA      | $1024.61      | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 4% 12/01/2052 #TBA                                              | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   32900000 | PA      | $31131625.00  | 3.16%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 07/01/2050#SD7521                                          | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5302112 | PA      | $4606715.13   | 0.47%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 07/01/2051#RA5574                                          | CUSIP: 3133KMFP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4054471 | PA      | $3492299.48   | 0.35%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GNR 2007-37 TS -1ML+669 6/37                                              | CUSIP: 38375KNC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      50865 | PA      | $5742.82      | 0.00%             | 2037-06-16      | Variable      | 0.03%                 | 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        |      19884 | PA      | $19198.45     | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 12/01/2049#FM2077                                            | CUSIP: 3140X5JX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10328387 | PA      | $9338073.76   | 0.95%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.50% 10/40 #AE3832                                                  | CUSIP: 31419EHJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28751 | PA      | $28595.63     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | 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        |     491348 | PA      | $451230.89    | 0.05%             | 2042-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 11/01/2051#                                                | CUSIP: 3140QMKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     923633 | PA      | $850214.55    | 0.09%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 3/40 #711223                                                   | CUSIP: 36297GD49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     490065 | PA      | $485216.19    | 0.05%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 1.5% 06/01/2051#QC3131                                          | CUSIP: 3133AMPQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95914 | PA      | $74670.15     | 0.01%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 01/01/2052#FS0286                                            | CUSIP: 3140XFJ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6018478 | PA      | $4979102.57   | 0.51%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 4% 05/20/2049#BN2615                                              | CUSIP: 3617K53Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     514235 | PA      | $495155.27    | 0.05%             | 2049-05-20      | Fixed         | 0.04%                 | 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        |     231379 | PA      | $203545.34    | 0.02%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 2.5% 12/01/2052 #TBA                                            | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   66300000 | PA      | $56655418.56  | 5.75%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 04/01/2051#FM6944                                            | CUSIP: 3140XAWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2363117 | PA      | $1960182.18   | 0.20%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS       | GNR 2010-H17 FA 1ML+33 7/60                                               | CUSIP: 38375BDY5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     122701 | PA      | $121040.40    | 0.01%             | 2060-07-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B14 MTG TR                                   | BENCHMARK 2019-B14 XA MORTGAGE TRUST VAR 12/15/2061                       | CUSIP: 08162YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26096844 | PA      | $844115.46    | 0.09%             | 2062-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 11/01/2048#ZN1277                                            | CUSIP: 3131Y7M20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102034 | PA      | $98426.81     | 0.01%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 10/01/2049#CA4406                                            | CUSIP: 3140QB3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2633694 | PA      | $2374584.22   | 0.24%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 11/01/2042#AP4319                                          | CUSIP: 3138M7YR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26190 | PA      | $24716.17     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 12/01/2051#CB2349                                            | CUSIP: 3140QMTF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5611203 | PA      | $4642162.67   | 0.47%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 1999-33 PK 6% 7/29                                                    | CUSIP: 31359WKN0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      67941 | PA      | $68950.01     | 0.01%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 10/01/2051#QD0109                                            | CUSIP: 3133AWDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     325640 | PA      | $269504.80    | 0.03%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 6/32 #650527                                                   | CUSIP: 31390MVU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        502 | PA      | $536.52       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | 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        |     300775 | PA      | $286814.47    | 0.03%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 07/01/2032#J37270                                            | CUSIP: 31307UCF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37133 | PA      | $35536.63     | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 06/01/2045#Q33791                                          | CUSIP: 3132QQF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     463667 | PA      | $437101.58    | 0.04%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 03/01/2050#BP2186                                            | CUSIP: 3140K9NC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5110305 | PA      | $4605942.75   | 0.47%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 3% 2/1/43 #Q15788                                                    | CUSIP: 3132J62W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46235 | PA      | $42440.43     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 07/01/2047#Q49738                                          | CUSIP: 3132WPZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28162 | PA      | $27937.23     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 12/01/2040#                                                | CUSIP: 312944LX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41486 | PA      | $41317.95     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 04/01/2037#QO0091                                            | CUSIP: 3133WJC49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1680870 | PA      | $1584647.35   | 0.16%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 1999-32 PL 6% 7/29                                                    | CUSIP: 31359WHX2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      92180 | PA      | $93589.67     | 0.01%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 9/28 #484239                                                   | CUSIP: 36209W4Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        115 | PA      | $118.31       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GOVERNMENT NAT MTG AS REMIC PT 2017-PANW D 1ML+1000 12/20/2040            | CUSIP: 38377RBW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     422945 | PA      | $366496.59    | 0.04%             | 2040-12-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.0% 08/01/2041#AI5189                                          | CUSIP: 3138AJXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7952 | PA      | $8169.55      | 0.00%             | 2041-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 4/32 #638123                                                   | CUSIP: 31389W4G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18158 | PA      | $19554.11     | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 11/27 #404745                                                  | CUSIP: 31378PTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        143 | PA      | $148.47       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CY451600 12/16/72 B                                             | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    1470000 | NC      | $20110.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 9/39 #726298                                                   | CUSIP: 3620AC3F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48501 | PA      | $48902.38     | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 6/32 #644836                                                   | CUSIP: 31390FLR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3809 | PA      | $4100.11      | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 02/01/2033#BM5108                                            | CUSIP: 3140J9VA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1954270 | PA      | $1866825.43   | 0.19%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 11/27 #251298                                                  | CUSIP: 31371GDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        754 | PA      | $780.39       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 04/01/2046#Q40165                                            | CUSIP: 3132WDFF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88023 | PA      | $80111.81     | 0.01%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 11/01/2042#G07368                                            | CUSIP: 3128M9QV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     374225 | PA      | $362045.17    | 0.04%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 08/01/2051#CB1384                                          | CUSIP: 3140QLRE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6089360 | PA      | $5243138.65   | 0.53%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 10/01/2041#                                                  | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2411607 | PA      | $2047882.62   | 0.21%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 01/01/2044#Q24255                                          | CUSIP: 3132M4MC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5333 | PA      | $5196.29      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.0% 09/45#MA3106                                                 | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3955 | PA      | $3864.13      | 0.00%             | 2045-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRASS NO 10 PLC                                             | BRASS NO 10 PLC VAR 04/16/2069 144A                                       | CUSIP: 10554PAA1<br>LEI: 213800UCE3NFG8SQKH09 | Long             | ABS-CBDO         | CORP              | GB        |     482768 | PA      | $458645.50    | 0.05%             | 2069-04-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 04/01/2050#BK2249                                            | CUSIP: 3140HFQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5529658 | PA      | $4982179.52   | 0.51%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 10/01/2045#BM4643                                          | CUSIP: 3140J9ER8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     256355 | PA      | $253755.49    | 0.03%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK33                                             | BANK 2021-BNK33 VAR 05/15/2064                                            | CUSIP: 06541CBR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7318458 | PA      | $423717.47    | 0.04%             | 2064-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 11/01/2049#CA4557                                          | CUSIP: 3140QCB39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     869339 | PA      | $810967.39    | 0.08%             | 2049-11-01      | Fixed         | 0.04%                 | 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        |     116744 | PA      | $107111.97    | 0.01%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 09/01/2043#Q21900                                          | CUSIP: 3132JPDD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25231 | PA      | $24574.69     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 10/01/2045#AZ4750                                          | CUSIP: 3138YWH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195299 | PA      | $183695.84    | 0.02%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 8.50% 10/28 #780881                                                  | CUSIP: 36225A6S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10011 | PA      | $10464.57     | 0.00%             | 2028-10-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 12/23 #265603                                                  | CUSIP: 31371YAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        209 | PA      | $209.22       | 0.00%             | 2023-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 11/32#BJ6650                                                 | CUSIP: 3140H8L86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59332 | PA      | $56677.21     | 0.01%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 6.54% 4/37 #918912                                               | CUSIP: 31411Y3V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15773 | PA      | $15706.93     | 0.00%             | 2037-04-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 4/40 #737177                                                   | CUSIP: 3620AQ6N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     195840 | PA      | $197518.19    | 0.02%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 06/01/2049#CA3726                                          | CUSIP: 3140QBD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1314817 | PA      | $1227355.31   | 0.12%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 7/40 #719228                                                   | CUSIP: 3620A5A58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     217012 | PA      | $214923.42    | 0.02%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 6/46#V82414                                                  | CUSIP: 3132L7VF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1239638 | PA      | $1128224.39   | 0.11%             | 2046-06-01      | Fixed         | 0.03%                 | 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        |    2114308 | PA      | $1987345.13   | 0.20%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 10/01/2039#A89270                                          | CUSIP: 312936JP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     397874 | PA      | $395796.34    | 0.04%             | 2039-10-01      | 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        |     637720 | PA      | $617569.09    | 0.06%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 05/01/2045#Q33547                                          | CUSIP: 3132QP5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2163588 | PA      | $2039628.22   | 0.21%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 8.00% 4/24 #400217                                                   | CUSIP: 36205TSE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        535 | PA      | $540.91       | 0.00%             | 2024-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 5.00% 8/36 #G02307                                                   | CUSIP: 3128LXR44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     200543 | PA      | $203156.59    | 0.02%             | 2036-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 01/01/2053 #TBA                                                | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   48400000 | PA      | $41134622.76  | 4.17%             | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 04/20/2050#MA6600                                            | CUSIP: 36179VKM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2637740 | PA      | $2475224.02   | 0.25%             | 2050-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 2.5% 12/01/2052 #TBA                                            | CUSIP: 01F0226C4<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -32250000 | PA      | $-27558631.20 | -2.80%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 12/27 #257055                                                  | CUSIP: 31371NQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2632 | PA      | $2683.61      | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2502 ZC 6 9/32                                                        | CUSIP: 31392UTM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      57461 | PA      | $59268.18     | 0.01%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING                                        | STORE MASTER FUNDING 2.12% 06/20/2051 144A                                | CUSIP: 86190BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1985833 | PA      | $1626589.14   | 0.17%             | 2051-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 15YR 2% 12/01/2037 #TBA                                              | CUSIP: 01F0204C0<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -24350000 | PA      | $-21873911.81 | -2.22%            | 2037-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5% 12/01/2052#SD1924                                            | CUSIP: 3132DPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3449330 | PA      | $3476660.08   | 0.35%             | 2052-12-01      | Fixed         | 0.05%                 | 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        |     386317 | PA      | $367102.67    | 0.04%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2014-GC20                                    | GS MTG SECS TR 2014-GC20 CSTR 04/10/2047                                  | CUSIP: 36252WAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3026235 | PA      | $27852.56     | 0.00%             | 2047-04-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 9/39 #A88305                                                   | CUSIP: 312935GN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5670 | PA      | $5636.92      | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.50% 9/24 #G00320                                                   | CUSIP: 31283GK97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2356 | PA      | $2364.65      | 0.00%             | 2024-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.00% 9/26 #256469                                                   | CUSIP: 31371M2A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7458 | PA      | $7596.16      | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 8.00% 6/24 #389864                                                   | CUSIP: 36205GB91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        355 | PA      | $359.13       | 0.00%             | 2024-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY451600 12/16/72 B                                           | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     680000 | NC      | $9302.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS BARCLAYS COML MTG TR 2013-C6                            | UBS BARCLAYS COML MTG TR 2013-C6 A3FL 1ML+79 04/10/2046 144A              | CUSIP: 90349GAC9<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |     255260 | PA      | $254900.88    | 0.03%             | 2046-04-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST                              | CASCADE FUNDING MORTGAGE TRUST 0.8983% 06/25/2036 144A                    | CUSIP: 12527LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     624235 | PA      | $587943.59    | 0.06%             | 2036-06-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 03/01/2047#BE9249                                          | CUSIP: 3140FVH33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102436 | PA      | $96254.60     | 0.01%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 3.50% 9/42 #AP4410                                                   | CUSIP: 3138M73U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186759 | PA      | $175254.36    | 0.02%             | 2042-09-01      | 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        |     137636 | PA      | $132903.07    | 0.01%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 1/1/42 #Q05962                                             | CUSIP: 3132GMJF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     342423 | PA      | $331328.97    | 0.03%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.0% 02/01/2043#AR0015                                          | CUSIP: 3138NWAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105996 | PA      | $97207.41     | 0.01%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 12/01/2051#BT9503                                            | CUSIP: 3140LYRZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47472 | PA      | $42149.02     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV2.5% MAC 12/21/52                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |     712000 | NC      | $-21423.55    | -0.00%            |  |  |  | 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        |     786997 | PA      | $767448.40    | 0.08%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 7.00% 7/26 #D97040                                              | CUSIP: 3128E3ZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2955 | PA      | $2990.52      | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 4.5% 12/01/2052 #TBA                                            | CUSIP: 01F0426C2<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -10300000 | PA      | $-10026411.40 | -1.02%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.50% 9/39 #G06670                                                   | CUSIP: 3128M8W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59530 | PA      | $64049.78     | 0.01%             | 2039-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.0% 04/01/2045#AY9393                                          | CUSIP: 3138YPNK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     215458 | PA      | $209254.53    | 0.02%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 4.58% 7/35 #995273                                               | CUSIP: 31416BT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4303 | PA      | $4310.52      | 0.00%             | 2035-07-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 03/01/2032#C91403                                          | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     431420 | PA      | $417481.47    | 0.04%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 02/01/2051#SD7535                                          | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6300483 | PA      | $5462331.97   | 0.55%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 08/01/2049#FM1338                                          | CUSIP: 3140X4PY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1138565 | PA      | $1130654.74   | 0.11%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 11/39 #726095                                                  | CUSIP: 3620ACUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52072 | PA      | $52544.66     | 0.01%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 1.5% 11/01/2040#MA4175                                          | CUSIP: 31418DT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307863 | PA      | $252374.37    | 0.03%             | 2040-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 07/01/2032#MA3060                                            | CUSIP: 31418CMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1290785 | PA      | $1233028.54   | 0.13%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2002-74 SV -1ML+755 11/32                                             | CUSIP: 31392FRK5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      25096 | PA      | $1041.99      | 0.00%             | 2032-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE7 MTG TR                                      | COMM MTG TR 2013-CC7 AM 3.314% 03/10/2046                                 | CUSIP: 12625FAS5<br>LEI: 549300FVY7JUBJ0PIH53 | Long             | ABS-MBS          | CORP              | US        |     304000 | PA      | $301172.86    | 0.03%             | 2046-03-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 7/32 #648009                                                   | CUSIP: 31390J3S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1071 | PA      | $1153.49      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 02/01/2043#Q15400                                          | CUSIP: 3132J6NS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38013 | PA      | $37070.84     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 02/01/2041#AH5580                                          | CUSIP: 3138A7FW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     385253 | PA      | $383161.70    | 0.04%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 8/40 #A93505                                                   | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     199588 | PA      | $198727.61    | 0.02%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.50% 5/33 #A45795                                                   | CUSIP: 3128K6NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101194 | PA      | $104967.33    | 0.01%             | 2033-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 04/01/2043#Q17518                                          | CUSIP: 3132J8YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26750 | PA      | $26070.24     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 02/01/2042#MA4540                                            | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1335444 | PA      | $1131108.23   | 0.11%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 02/01/2048#BJ4680                                            | CUSIP: 3140H6FW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65935 | PA      | $63480.09     | 0.01%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 02/01/2035#AB0067                                            | CUSIP: 31416VCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144845 | PA      | $145835.61    | 0.01%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 15YR 1.5% 12/01/2037 #TBA                                            | CUSIP: 01F0124C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   18850000 | PA      | $16474670.03  | 1.67%             | 2037-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2380 SY -1ML+820 11/31                                                | CUSIP: 31339GVS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     138258 | PA      | $5917.21      | 0.00%             | 2031-11-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GOVERNMENT NAT MTG AS REMIC PT 1ML+40 01/20/2049                          | CUSIP: 38381BSP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     192114 | PA      | $190187.46    | 0.02%             | 2049-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 10/35 #A47209                                                  | CUSIP: 3128K8AJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17696 | PA      | $17550.45     | 0.00%             | 2035-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.00% 5/33 #G01785                                                   | CUSIP: 31283H6W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46847 | PA      | $48265.35     | 0.00%             | 2033-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 12/34#FM0045                                                 | CUSIP: 3140X3BP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216226 | PA      | $205875.33    | 0.02%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.00% 2/41 #004945                                                | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137614 | PA      | $133245.84    | 0.01%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY451600 12/16/72 B                                           | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     400000 | NC      | $5472.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 01/20/2044#MA1600                                            | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29927 | PA      | $28438.39     | 0.00%             | 2044-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 03/01/2052#RA6988                                            | CUSIP: 3133KNXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     238432 | PA      | $211323.79    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLOX 2021-BLOX                                              | BLOX 2021-BLOX A 1ML+80 09/15/2026 144A                                   | CUSIP: 055522AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1525000 | PA      | $1435359.89   | 0.15%             | 2026-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 9/37 #889631                                                   | CUSIP: 31410KLL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2324 | PA      | $2498.53      | 0.00%             | 2038-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 12/01/2051#CB2347                                            | CUSIP: 3140QMTD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1323033 | PA      | $1095788.90   | 0.11%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 12/01/2041#MA4501                                            | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1117654 | PA      | $949086.65    | 0.10%             | 2041-12-01      | Fixed         | 0.02%                 | 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        |     189401 | PA      | $182871.41    | 0.02%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2% 07/01/2041#                                                  | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21708 | PA      | $18549.13     | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3% 12/01/2052 #TBA                                                | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -9750000 | PA      | $-8793872.10  | -0.89%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 10/01/2051#QC9114                                            | CUSIP: 3133AUDT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     903430 | PA      | $747692.04    | 0.08%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 1.5% 02/01/2041#RB5099                                          | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     321510 | PA      | $263561.96    | 0.03%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS       | GNR 2010-H19 FG 1ML+30 8/60                                               | CUSIP: 38375BFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     123508 | PA      | $121902.14    | 0.01%             | 2060-08-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7.5% 09/01/2030#                                                | CUSIP: 31283HHG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        755 | PA      | $800.10       | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2001-31 ZC 6.5% 7/31                                                  | CUSIP: 313920CW8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      36917 | PA      | $37461.17     | 0.00%             | 2031-07-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 08/01/2044#Q27808                                          | CUSIP: 3132M8KV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16831 | PA      | $16392.54     | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | 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        |     210372 | PA      | $208374.24    | 0.02%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 07/01/2050#CA6399                                          | CUSIP: 3140QEDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3140135 | PA      | $2719459.93   | 0.28%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 2/42 #AK3455                                                   | CUSIP: 3138E7ZV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88979 | PA      | $85986.20     | 0.01%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MERIT 2021                                                  | MERIT 2021-STOR A 1ML+75 07/15/2038 144A                                  | CUSIP: 55293BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     673000 | PA      | $643471.79    | 0.07%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 05/01/2031#                                                | CUSIP: 31298MDZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6337 | PA      | $6649.58      | 0.00%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 09/01/2048#ZS4788                                            | CUSIP: 3132A5J97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1582323 | PA      | $1423930.43   | 0.14%             | 2048-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 4/1/43 #AT1745                                             | CUSIP: 3138WN5F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     202207 | PA      | $190825.29    | 0.02%             | 2043-04-01      | Fixed         | 0.04%                 | 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        |     150193 | PA      | $148461.55    | 0.02%             | 2034-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM ARM 12ML+187.9 10/42#849255                                          | CUSIP: 31300MH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23361 | PA      | $23501.71     | 0.00%             | 2042-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 7/39 #704628                                                   | CUSIP: 36296XYZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73437 | PA      | $74007.34     | 0.01%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2002-16 ZD 6.50% 4/32                                                 | CUSIP: 31392CVK7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      17936 | PA      | $18555.35     | 0.00%             | 2032-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.0% 01/46#MA3377                                                 | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50989 | PA      | $49702.66     | 0.01%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 04/01/2048#Q55725                                            | CUSIP: 3132XYLF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68068 | PA      | $65807.58     | 0.01%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 3/41 #A97528                                                   | CUSIP: 312946LH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51211 | PA      | $50997.76     | 0.01%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 01/01/2024#                                                | CUSIP: 313988N52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1095 | PA      | $1098.28      | 0.00%             | 2024-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3.5% 07/01/2034#BO1835                                          | CUSIP: 3140JWBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182985 | PA      | $177218.32    | 0.02%             | 2034-07-01      | Fixed         | 0.04%                 | 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        |        623 | PA      | $638.80       | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 4683 LM 3% 05/15/2047                                                 | CUSIP: 3137BYKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     581300 | PA      | $550637.19    | 0.06%             | 2047-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 6% 06/25/2045                              | CUSIP: 3136ANY68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     491294 | PA      | $86933.86     | 0.01%             | 2045-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 3.0% 07/15/2043#AD2512                                          | CUSIP: 36180DYH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26737 | PA      | $24772.91     | 0.00%             | 2043-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 08/01/2042#AL2266                                          | CUSIP: 3138EJQU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     632326 | PA      | $593454.16    | 0.06%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 11/42#G60488                                                 | CUSIP: 31335ARH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177333 | PA      | $171591.62    | 0.02%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 12/26 #442193                                                  | CUSIP: 36207UGA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         63 | PA      | $65.06        | 0.00%             | 2026-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.0% 11/01/2040#AB1801                                          | CUSIP: 31416XAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     332402 | PA      | $321400.16    | 0.03%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 06/01/2039#AW0113                                            | CUSIP: 3138XPDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59548 | PA      | $57907.79     | 0.01%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2% 10/01/2041#                                                  | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22711 | PA      | $19285.83     | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                              | FHR 2043 CJ 6.5% 4/28                                                     | CUSIP: 3133TDML7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      37370 | PA      | $37874.62     | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | 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        |      20635 | PA      | $19944.19     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 3.472% 12/01/2040#AE0653                                         | CUSIP: 31419AWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     408833 | PA      | $412682.26    | 0.04%             | 2040-12-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                 | UNITED STATES TREASURY BOND 3.25% 05/15/2042                              | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2080000 | PA      | $1868425.00   | 0.19%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 7/40 #719216                                                   | CUSIP: 3620A5AR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112512 | PA      | $111390.87    | 0.01%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 06/46#AS7009                                                 | CUSIP: 36193SYE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28413 | PA      | $26706.41     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 2/42 #005306                                                | CUSIP: 36202F3P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1973 | PA      | $1983.77      | 0.00%             | 2042-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 8.00% 8/25 #405480                                                   | CUSIP: 36206AM59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        408 | PA      | $415.64       | 0.00%             | 2025-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 1/26 #780299                                                   | CUSIP: 36225AKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        562 | PA      | $569.75       | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHR 2162 PH 6 6/29                                                        | CUSIP: 3133TLBA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       9916 | PA      | $10063.52     | 0.00%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4% 12/20/2045#MA3311                                              | CUSIP: 36179RVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64679 | PA      | $63188.48     | 0.01%             | 2045-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 08/01/2032#J37452                                            | CUSIP: 31307UH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34862 | PA      | $33363.19     | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GNR 2012-76 GS -1ML+670 6/42                                              | CUSIP: 38375C5E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     172616 | PA      | $17890.99     | 0.00%             | 2042-06-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 10/01/2050#CA7229                                          | CUSIP: 3140QFA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1143133 | PA      | $990705.44    | 0.10%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 01/20/2045#MA2523                                            | CUSIP: 36179QYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3316 | PA      | $3334.26      | 0.00%             | 2045-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 01/01/2053 #TBA                                              | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2250000 | PA      | $2088412.88   | 0.21%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 3287 SD -1ML+675 3/37                                                 | CUSIP: 31397G6Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     152680 | PA      | $20978.40     | 0.00%             | 2037-03-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 05/46#MA3665                                                 | CUSIP: 36179SCA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4769 | PA      | $4795.43      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | 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        |      34301 | PA      | $33151.15     | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 1.5% 12/01/2050#BQ9522                                          | CUSIP: 3140KVSL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44656 | PA      | $34807.37     | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 07/01/2050#CA6275                                            | CUSIP: 3140QD6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1457952 | PA      | $1207989.59   | 0.12%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 3/28 #468760                                                   | CUSIP: 36209DWV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1225 | PA      | $1256.40      | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24             | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24 2.684% 10/15/2049         | CUSIP: 95000HBE1<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |     797103 | PA      | $725142.24    | 0.07%             | 2049-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2005-73 SA -1ML+1755 8/35                                             | CUSIP: 31394EB64<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       5750 | PA      | $5945.96      | 0.00%             | 2035-08-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.00% 5/30 #590851                                                   | CUSIP: 31387QL81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107338 | PA      | $111928.37    | 0.01%             | 2030-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GOVERNMENT NAT MTG AS REMIC PT 1ML+45 02/20/2049                          | CUSIP: 38381RQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     600904 | PA      | $594398.64    | 0.06%             | 2049-02-20      | Variable      | 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        |     269288 | PA      | $247069.75    | 0.03%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY451600 12/16/72 B                                           | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     930000 | NC      | $12722.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.0% 01/01/2041#AH1582                                          | CUSIP: 3138A2XL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17076 | PA      | $16506.90     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 09/20/2043#MA1285                                            | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76105 | PA      | $72319.74     | 0.01%             | 2043-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 08/01/2042#AP0495                                          | CUSIP: 3138M3RR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32429 | PA      | $30422.20     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.0% 04/01/2045#AY8060                                          | CUSIP: 3138YM5W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109653 | PA      | $106632.79    | 0.01%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 3% 09/25/2027                              | CUSIP: 3136A8PY0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     229365 | PA      | $10633.45     | 0.00%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.0% 07/01/2043#AU2962                                          | CUSIP: 3138X2JG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117746 | PA      | $107872.84    | 0.01%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 08/01/2040#BM1518                                          | CUSIP: 3140J5VL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     818474 | PA      | $812517.22    | 0.08%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 2/41 #A96876                                                   | CUSIP: 312945T99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51282 | PA      | $51067.16     | 0.01%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 10/01/2051#RA6076                                            | CUSIP: 3133KMXD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6535249 | PA      | $5398459.57   | 0.55%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 2.967% 8/41#AI8879                                               | CUSIP: 3138AN2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16197 | PA      | $16360.84     | 0.00%             | 2041-08-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 01/01/2048#V83906                                            | CUSIP: 3132L9KT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     369080 | PA      | $355667.93    | 0.04%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 10/01/2046#BD7599                                            | CUSIP: 3140FFNR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97337 | PA      | $94169.80     | 0.01%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 3189 PD 6% 7/36                                                       | CUSIP: 31396UAR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      85195 | PA      | $88525.50     | 0.01%             | 2036-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.0% 01/01/2045#AY3020                                          | CUSIP: 3138YGLA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229048 | PA      | $222452.98    | 0.02%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 8.00% 7/25 #410064                                                   | CUSIP: 36206FQR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        221 | PA      | $225.99       | 0.00%             | 2025-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 03/01/2039#AS2011                                            | CUSIP: 3138WBGV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40302 | PA      | $39192.00     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 08/20/2043#MA1224                                            | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27716 | PA      | $26337.88     | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 20YR 3.5% 05/01/2036#BM3697                                     | CUSIP: 3140J8DB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     240975 | PA      | $232456.96    | 0.02%             | 2036-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 1.5% 04/01/2041#RB5107                                          | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     332399 | PA      | $271657.51    | 0.03%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2001-52 YZ 6.5% 10/31                                                 | CUSIP: 313921MN5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      10422 | PA      | $10760.16     | 0.00%             | 2031-10-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 07/01/2050#CA6312                                            | CUSIP: 3140QEAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2257886 | PA      | $2029398.35   | 0.21%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 5/41 #Q00736                                                   | CUSIP: 3132GDY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47253 | PA      | $47004.21     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.0% 08/20/2044#MA2149                                            | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70940 | PA      | $69371.95     | 0.01%             | 2044-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 01/01/45#G08624                                            | CUSIP: 3128MJVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2630 | PA      | $2556.79      | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 4/42 #AK8237                                                   | CUSIP: 3138EDEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     365113 | PA      | $352774.87    | 0.04%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 8/28 #404244                                                   | CUSIP: 36205YBM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1367 | PA      | $1394.20      | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 02/01/2029#                                                  | CUSIP: 31293KQ33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1906 | PA      | $1950.77      | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.50% 2/37 #A57709                                                   | CUSIP: 3128KLR66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4013 | PA      | $4268.11      | 0.00%             | 2037-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3% 11/20/2050#MA6996                                              | CUSIP: 36179VXZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14001436 | PA      | $12733544.13  | 1.29%             | 2050-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 11/01/2040#                                                  | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18263 | PA      | $15668.48     | 0.00%             | 2040-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3% 01/01/2053 #TBA                                                | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9750000 | PA      | $8799965.85   | 0.89%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 6.50% 11/26 #D97105                                             | CUSIP: 3128E33N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12436 | PA      | $12595.79     | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 04/01/2048#Q55661                                            | CUSIP: 3132XYJF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44274 | PA      | $42789.85     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 4/35 #820389                                                   | CUSIP: 31406UNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1037 | PA      | $1101.21      | 0.00%             | 2035-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 08/01/2046#BD5247                                          | CUSIP: 3140FCZM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160794 | PA      | $151140.85    | 0.02%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2008-12 SG -1ML+635 3/38                                              | CUSIP: 31396YMM1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     121890 | PA      | $12977.83     | 0.00%             | 2038-03-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES   | FNS 359 19 6% 7/35                                                        | CUSIP: 3136FCUL8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      19551 | PA      | $3757.84      | 0.00%             | 2035-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 12/01/2051#CB2289                                          | CUSIP: 3140QMRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3756261 | PA      | $3224285.98   | 0.33%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 12/01/2046#Q45023                                          | CUSIP: 3132WJSM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     219319 | PA      | $205999.97    | 0.02%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3.5% 07/01/2034#CA3925                                          | CUSIP: 3140QBLF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     536885 | PA      | $520804.77    | 0.05%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.50% 11/40 #AE3874                                                  | CUSIP: 31419EJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65495 | PA      | $65140.68     | 0.01%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 1/24 #362182                                                   | CUSIP: 36203XJ31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        209 | PA      | $210.26       | 0.00%             | 2024-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 05/01/2046#G60553                                          | CUSIP: 31335ATJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2612924 | PA      | $2465670.47   | 0.25%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3% 01/15/2033                              | CUSIP: 3137AXRF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      50079 | PA      | $4166.27      | 0.00%             | 2033-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 04/01/2037#QO0016                                            | CUSIP: 3133WJAR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     778065 | PA      | $734253.35    | 0.07%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 04/01/2024#                                                | CUSIP: 31356DP83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         44 | PA      | $44.20        | 0.00%             | 2024-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 12/01/2051#QD3434                                            | CUSIP: 3133B0Y72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     305762 | PA      | $252479.78    | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 9/28 #486530                                                   | CUSIP: 36210APP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6223 | PA      | $6404.36      | 0.00%             | 2028-09-15      | 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 4135 AB 1.75% 06/15/2042                   | CUSIP: 3137AWAE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      58749 | PA      | $53466.50     | 0.01%             | 2042-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 3.0% 06/15/2043#AD2454                                          | CUSIP: 36180DWP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     108872 | PA      | $100875.92    | 0.01%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 3806 UP 4.5% 2/41                                                     | CUSIP: 3137A6ZL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     186590 | PA      | $185489.64    | 0.02%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 11/01/2049#BO4757                                            | CUSIP: 3140K0JB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3643848 | PA      | $3280801.65   | 0.33%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 3.5% 01/01/2053 #TBA                                            | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1350000 | PA      | $1237570.38   | 0.13%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIE MAE 2010-95 ZC 5% 09/25/2040                                       | CUSIP: 31398NFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1099768 | PA      | $1113604.57   | 0.11%             | 2040-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 04/01/2043#Q17578                                          | CUSIP: 3132J82L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77527 | PA      | $73230.50     | 0.01%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer