# EDGAR Filing Document

**Accession Number:** 0000719451
**File Stem:** 0001752724-23-014652
**Filing Date:** 2023-1
**Character Count:** 100788
**Document Hash:** 822df3f6fb9c1a306887b0705e4628de
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-014652.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001752724-23-014652

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230126

**PERIOD START**: 20221130

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY ADVISOR SERIES IV
- **CENTRAL INDEX KEY:** 0000719451
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1130

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03737
- **FILM NUMBER:** 23556495

**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 INCOME TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** INCOME PORTFOLIOS
- **DATE OF NAME CHANGE:** 19920202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIXED INCOME PORTFOLIOS
- **DATE OF NAME CHANGE:** 19920202

## Series and Classes Contracts Data

### Fidelity Limited Term Government Fund (Series ID: S000005156)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000014122 | Fidelity Limited Term Government Fund | FFXSX           |

## 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 IV

- **b. Investment Company Act file number:** 811-03737

- **c. CIK number of Registrant:** 0000719451

- **d. LEI of Registrant:** TWU5ZDKYQKOGXIY3DA15

- **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 Limited Term Government Fund

- **b. EDGAR series identifier (if any):** S000005156

- **c. LEI of Series:** 0U5BQ6QF0FN18LRW8R10

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

- **a. Date of fiscal year-end:** 2022-11-30

- **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:** $318995818.44

**Total Liabilities:** $30255354.50

**Net Assets:** $288740463.94

**Delayed Delivery Securities:** $17317785.19

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 633.77956386 | **1-Year:** 26876.11419017 | **5-Year:** 28978.04801683 | **10-Year:** 5491.47220107 | **30-Year:** 2468.42419066

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000014122 | -1.91%               | -0.41%               | 1.20%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-207793.12              | $-4261225.01                               |
| Month 2  | $-212076.89              | $-840036.77                                |
| Month 3  | $-153164.04              | $2782852.57                                |

**Designated Index Information**

- **Index Name:** Bloomberg US 1-5 Year Government Bond Index

- **Index Identifier:** 19808689

### 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 ARM 4.87% 1/35 #735833                                | CUSIP: 31402RPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3962 | PA      | $3951.63      | 0.00%             | 2035-01-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 1.5% 01/31/2027                                  | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1144000 | PA      | $1038180.00   | 0.36%             | 2027-01-31      | Fixed         | 0.01%                 | 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        |  -3850000 | PA      | $-3269064.65  | -1.13%            | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 2.375% 03/31/2029                                | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1300000 | PA      | $1196355.47   | 0.41%             | 2029-03-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 2.986% 10/01/2041#1B8864                          | CUSIP: 3128UHGY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36250 | PA      | $36548.31     | 0.01%             | 2041-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 30YR 3.5% 03/01/2052#                                 | CUSIP: 3133KNWK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    628793 | PA      | $579990.62    | 0.20%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2012-H03 FA 1ML+70 1/20/62 RVM                         | CUSIP: 38375BPJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    134294 | PA      | $133507.00    | 0.05%             | 2062-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 1.5% 11/30/2028                                  | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    125000 | PA      | $109624.02    | 0.04%             | 2028-11-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H12 FA 1ML+49 5/61                                | CUSIP: 38375BLS9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    211769 | PA      | $209760.18    | 0.07%             | 2061-02-20      | Variable      | 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        |    120074 | PA      | $116194.87    | 0.04%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 6.22% 3/37 #910296                                | CUSIP: 31411KKH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4236 | PA      | $4235.66      | 0.00%             | 2037-03-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2010-H27 FA 1ML+38 12/60                               | CUSIP: 38375BJK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    186411 | PA      | $184190.48    | 0.06%             | 2060-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FNR 2002-49 FB 1ML+60 11/31                                | CUSIP: 31392DYV8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     13949 | PA      | $13948.47     | 0.00%             | 2031-11-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 3859 JZ 5% 05/15/2041                                  | CUSIP: 3137AAMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    303277 | PA      | $307893.09    | 0.11%             | 2041-05-15      | Fixed         | 0.05%                 | 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        |     65866 | PA      | $59793.35     | 0.02%             | 2051-09-20      | Fixed         | 0.03%                 | 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        |       765 | PA      | $772.92       | 0.00%             | 2036-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GOVERNMENT NAT MTG ASSN HECM 13-H08 MA 3% 03/20/2063       | CUSIP: 38375BN40<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2320 | PA      | $2169.29      | 0.00%             | 2063-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 5.01% 7/35 #1M1050                                | CUSIP: 3128QFEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9030 | PA      | $9170.98      | 0.00%             | 2035-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 2.127% 11/25/2031           | CUSIP: 3137H4SH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    840000 | PA      | $697376.57    | 0.24%             | 2031-11-25      | Fixed         | 0.02%                 | 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        |     20685 | PA      | $20611.57     | 0.01%             | 2037-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GOVERNMENT NAT MTG ASSN HECM 2.75% 02/20/2064              | CUSIP: 38375UDD9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    325503 | PA      | $318198.92    | 0.11%             | 2064-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FNR 2001-38 QF 1ML+98 8/31                                 | CUSIP: 313920QV5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     13690 | PA      | $13857.85     | 0.00%             | 2031-08-25      | Variable      | 0.05%                 | 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        |     34394 | PA      | $31098.08     | 0.01%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 2.686% 04/01/2044#AL5128                          | CUSIP: 3138EMVW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13096 | PA      | $13083.01     | 0.00%             | 2044-04-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 5.05% 7/34 #801635                                | CUSIP: 31405WSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1261 | PA      | $1266.08      | 0.00%             | 2034-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 0.375% 10/31/2023                                | CUSIP: 91282CDD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6000000 | PA      | $5765390.64   | 2.00%             | 2023-10-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 1.125% 10/31/2026                                | CUSIP: 91282CDG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $718375.00    | 0.25%             | 2026-10-31      | Fixed         | 0.01%                 | 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        |    237107 | PA      | $194371.53    | 0.07%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 2.592% 05/01/2044#AW2459                          | CUSIP: 3138XRWV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        48 | PA      | $48.16        | 0.00%             | 2044-05-01      | Variable      | 0.03%                 | 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        |    151138 | PA      | $149685.56    | 0.05%             | 2061-04-20      | Variable      | 0.04%                 | 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        |      8272 | PA      | $239.44       | 0.00%             | 2026-07-25      | Fixed         | 0.04%                 | 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        |      1394 | PA      | $1409.69      | 0.00%             | 2036-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                      | ISRAEL STATE OF 5.5% 12/04/2023                            | CUSIP: 46513EGV8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      4000 | PA      | $4024.39      | 0.00%             | 2023-12-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                 | LCH OIS SOFRV2.5% MAC 12/21/29                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |    699000 | NC      | $-6418.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H21 FA 1ML+60 10/61                               | CUSIP: 38375BNE8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    212861 | PA      | $211286.08    | 0.07%             | 2061-10-20      | Variable      | 0.04%                 | 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        |   -100000 | PA      | $-91625.00    | -0.03%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.50% 7/35 #745092                                    | CUSIP: 31403CXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4718 | PA      | $4965.81      | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.50% 8/36 #888544                                    | CUSIP: 31410GER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35147 | PA      | $36897.57     | 0.01%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 2.75% 02/15/2024                                 | CUSIP: 912828B66<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18612000 | PA      | $18199046.25  | 6.30%             | 2024-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 30YR 6% 01/01/2035#787546                             | CUSIP: 31405E5F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19222 | PA      | $20068.08     | 0.01%             | 2035-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 0.25% 09/30/2025                                 | CUSIP: 91282CAM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14373000 | PA      | $12931769.85  | 4.48%             | 2025-09-30      | Fixed         | 0.00%                 | 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        |   4200000 | PA      | $3566252.34   | 1.24%             | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 0.75% 03/31/2026                                 | CUSIP: 91282CBT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    939000 | PA      | $844403.08    | 0.29%             | 2026-03-31      | Fixed         | 0.01%                 | 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        |     67263 | PA      | $61035.68     | 0.02%             | 2051-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 30YR 4% 07/01/46#BC1443                               | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293166 | PA      | $286098.84    | 0.10%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 5.344% 7/35 #834917                               | CUSIP: 31407MSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1230 | PA      | $1254.95      | 0.00%             | 2035-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNR 1994-42 FK 1MT10Y-50 4/24                              | CUSIP: 31359HYF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     12611 | PA      | $12509.52     | 0.00%             | 2024-04-25      | Variable      | 0.04%                 | 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        |      1988 | PA      | $1962.74      | 0.00%             | 2061-05-20      | 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        |    200041 | PA      | $202188.60    | 0.07%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                            | FANNIE MAE 0.625% 04/22/2025                               | CUSIP: 3135G03U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    319000 | PA      | $292149.04    | 0.10%             | 2025-04-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 5.12% 7/35 #1L0109                                | CUSIP: 3128Q2DN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11983 | PA      | $12239.50     | 0.00%             | 2035-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FEDERAL NAT MTG ASN GTD REM PA 5.0% 12/25/2023             | CUSIP: 31393UQG1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      3181 | PA      | $3197.72      | 0.00%             | 2023-12-25      | Fixed         | 0.05%                 | 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        |    400000 | PA      | $376926.20    | 0.13%             | 2032-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 2526 FC 1ML+40 11/32                                   | CUSIP: 31393FGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     14382 | PA      | $14323.43     | 0.00%             | 2032-11-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 30YR 5% 11/01/2052#CB5128                             | CUSIP: 3140QQVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349545 | PA      | $352969.65    | 0.12%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 4.889% 3/33 #847126                               | CUSIP: 3128HD4K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       104 | PA      | $103.46       | 0.00%             | 2033-03-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 5.44% 2/37 #888171                                | CUSIP: 31410FW84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16464 | PA      | $16544.41     | 0.01%             | 2037-02-01      | Variable      | 0.02%                 | 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        |    392000 | NC      | $-3233.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FNR 2002-74 FV 1ML+45 11/32                                | CUSIP: 31392FRJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     65069 | PA      | $64989.36     | 0.02%             | 2032-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                        | GNMA 8.00% 12/23 #780657                                   | CUSIP: 36225AWS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       407 | PA      | $408.87       | 0.00%             | 2023-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.50% 7/32 #545759                                    | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12230 | PA      | $12811.36     | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 30YR 3.5% 03/01/2052#RA6987                           | CUSIP: 3133KNXQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    576156 | PA      | $531258.74    | 0.18%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 20YR 2.5% 05/01/2041#SC0167                           | CUSIP: 3132D9FG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1113404 | PA      | $987904.20    | 0.34%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H17 FA 1ML+53 6/61                                | CUSIP: 38375BML3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    201672 | PA      | $199995.03    | 0.07%             | 2061-06-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 0.25% 05/15/2024                                 | CUSIP: 91282CCC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    258000 | PA      | $242308.36    | 0.08%             | 2024-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FNR 2002-75 FA 1ML+100 11/32                               | CUSIP: 31392FMU8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      6302 | PA      | $6374.70      | 0.00%             | 2032-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2015-H13 FL 1ML+28 05/63                               | CUSIP: 38376RCN4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2410 | PA      | $2355.47      | 0.00%             | 2063-05-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 1.25% 12/31/2026                                 | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7902000 | PA      | $7108095.94   | 2.46%             | 2026-12-31      | Fixed         | 0.01%                 | 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        |    900000 | PA      | $824625.00    | 0.29%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H05 FA 1ML+50 12/60                               | CUSIP: 38375BKD3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    188426 | PA      | $186783.33    | 0.06%             | 2060-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS     | GNR 2008-83 FB 1ML+90 9/38                                 | CUSIP: 38375YFB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     47123 | PA      | $47678.82     | 0.02%             | 2038-09-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4.375% 10/31/2024                                | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1300000 | PA      | $1299695.31   | 0.45%             | 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        |    132321 | PA      | $121458.17    | 0.04%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.50% 8/36 #AE0746                                    | CUSIP: 31419AZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28498 | PA      | $29891.09     | 0.01%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                           | UNITED STATES TREASURY BOND 3.375% 08/15/2042              | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $182968.75    | 0.06%             | 2042-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 4.893% 10/35 #847787                              | CUSIP: 31408C2U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2517 | PA      | $2511.11      | 0.00%             | 2035-10-01      | Variable      | 0.04%                 | 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        |    236534 | PA      | $193901.57    | 0.07%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2012-H07 FA 1ML+63 3/20/62                             | CUSIP: 38375BQA3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     98006 | PA      | $97104.75     | 0.03%             | 2062-03-20      | Variable      | 0.04%                 | 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        |    531362 | PA      | $524534.15    | 0.18%             | 2060-09-20      | Variable      | 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        |     29337 | PA      | $811.97       | 0.00%             | 2040-02-25      | 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        |     44113 | PA      | $45299.72     | 0.02%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS     | GNR 2011-68 EC 3.5% 4/20/41                                | CUSIP: 38377VW93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    129677 | PA      | $125604.19    | 0.04%             | 2041-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 30YR 3.5% 03/01/2052#CB3174                           | CUSIP: 3140QNQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165724 | PA      | $152395.45    | 0.05%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.50% 12/35 #AD0723                                   | CUSIP: 31418MYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41924 | PA      | $43956.67     | 0.02%             | 2035-12-01      | Fixed         | 0.07%                 | 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        |   3244000 | NC      | $-29473.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 2.543% 01/44#AV5544                               | CUSIP: 3138XHES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6271 | PA      | $6278.48      | 0.00%             | 2044-01-01      | Variable      | 0.02%                 | 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        |      2135 | PA      | $2166.59      | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 1.375% 01/31/2025                                | CUSIP: 912828Z52<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2300000 | PA      | $2162898.43   | 0.75%             | 2025-01-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H14 FC 1ML+50 5/61                                | CUSIP: 38375BMB5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    175368 | PA      | $173730.03    | 0.06%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 15YR 3% 11/01/2034#CA4460                             | CUSIP: 3140QB5W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    767791 | PA      | $730796.47    | 0.25%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.50% 7/32 #545762                                    | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2817 | PA      | $2949.46      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2012-H01 FA 1ML+70 11/61                               | CUSIP: 38375BNX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    213186 | PA      | $211850.30    | 0.07%             | 2061-11-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 5.66% 4/36 #868559                                | CUSIP: 31409D5U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8738 | PA      | $8772.13      | 0.00%             | 2036-04-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                        | GNMA 6.00% 6/36 #782394                                    | CUSIP: 36241KUT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125544 | PA      | $130785.08    | 0.05%             | 2036-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H14 FB 1ML+50 5/61                                | CUSIP: 38375BLZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    237173 | PA      | $235049.67    | 0.08%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 5.280% 3/35 #843014                               | CUSIP: 31407WSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2463 | PA      | $2459.46      | 0.00%             | 2035-03-01      | Variable      | 0.03%                 | 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        |       915 | PA      | $929.23       | 0.00%             | 2035-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 1.625% 09/30/2026                                | CUSIP: 912828YG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    552000 | PA      | $506783.44    | 0.18%             | 2026-09-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 2448 FT 1ML+100 3/32                                   | CUSIP: 31392KYV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     14494 | PA      | $14656.54     | 0.01%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 2802 ZG 5.5% 5/15/34                                   | CUSIP: 31394YRN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    245272 | PA      | $252812.92    | 0.09%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                            | FNR 2010-39 FG 1ML+92 3/36                                 | CUSIP: 31398PU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    115178 | PA      | $116522.52    | 0.04%             | 2036-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                        | GNMA II 5.47% 8/59 #725598                                 | CUSIP: 3620ACDB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        98 | PA      | $91.06        | 0.00%             | 2059-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 5.48% 6/47 #939994                                | CUSIP: 31413AXX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5857 | PA      | $5926.15      | 0.00%             | 2047-06-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 2% 05/31/2024                                    | CUSIP: 912828XT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4240000 | PA      | $4081993.77   | 1.41%             | 2024-05-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2010-H18 PL 5.01% 9/60                                 | CUSIP: 38375BEV0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      5070 | PA      | $5035.40      | 0.00%             | 2060-09-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 30YR 3.5% 03/01/2052#                                 | CUSIP: 3133KNWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    599225 | PA      | $552155.57    | 0.19%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 0.75% 08/31/2026                                 | CUSIP: 91282CCW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $1065750.00   | 0.37%             | 2026-08-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 30YR 4% 10/01/2046#BC4754                             | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297477 | PA      | $290120.67    | 0.10%             | 2046-10-01      | Fixed         | 0.04%                 | 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        |    232310 | PA      | $190439.12    | 0.07%             | 2041-02-01      | Fixed         | 0.01%                 | 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        |       322 | NC      | $162309.73    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H07 FA 1ML+50 3/61                                | CUSIP: 38375BKP6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    160012 | PA      | $158475.89    | 0.05%             | 2061-02-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 4.00% 4/34 #781481                                | CUSIP: 31349SUE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21079 | PA      | $21371.32     | 0.01%             | 2034-04-01      | Variable      | 0.03%                 | 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        |      8834 | PA      | $8885.38      | 0.00%             | 2042-02-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2012-H06 FA 1ML+63 1/62                                | CUSIP: 38375BPQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    203424 | PA      | $201892.41    | 0.07%             | 2062-01-20      | Variable      | 0.04%                 | 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        |   2850000 | PA      | $2522918.04   | 0.87%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                           | UNITED STATES TREASURY BOND 2.875% 05/15/2052              | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    520000 | PA      | $432250.00    | 0.15%             | 2052-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 2711 FC 1ML+90 2/33                                    | CUSIP: 31394LYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     41590 | PA      | $41970.59     | 0.01%             | 2033-02-15      | Variable      | 0.05%                 | 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        |       688 | PA      | $708.38       | 0.00%             | 2035-10-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS     | GNR 2008-73 FA 1ML+86 8/38                                 | CUSIP: 38375XJZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     64712 | PA      | $65375.25     | 0.02%             | 2038-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 2770 FH 1ML+40 3/34                                    | CUSIP: 31394TZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     52350 | PA      | $52074.25     | 0.02%             | 2034-03-15      | Variable      | 0.04%                 | 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        |    712696 | PA      | $708970.12    | 0.25%             | 2066-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                  | UMBS 30YR 4% 12/01/2052 #TBA                               | CUSIP: 01F0406C6<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -850000 | PA      | $-804312.50   | -0.28%            | 2052-12-01      | 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        |     14957 | PA      | $15057.07     | 0.01%             | 2042-01-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 05/01/2044#AW2449                                 | CUSIP: 3138XRWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4206 | PA      | $4234.34      | 0.00%             | 2044-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.00% 8/34 #725703                                    | CUSIP: 31402DGL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19708 | PA      | $20481.38     | 0.01%             | 2034-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 0.375% 04/30/2025                                | CUSIP: 912828ZL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18223000 | PA      | $16635605.77  | 5.76%             | 2025-04-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 2.562% 02/44#AL5596                               | CUSIP: 3138ENGE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2723 | PA      | $2717.47      | 0.00%             | 2044-02-01      | Variable      | 0.02%                 | 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        |     28866 | PA      | $28970.38     | 0.01%             | 2041-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FEDERAL NAT MTG ASN GTD REM PA 5.5% 07/25/2034             | CUSIP: 31394AEQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    281141 | PA      | $283422.71    | 0.10%             | 2034-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 2.5% 03/31/2027                                  | CUSIP: 91282CEF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15200000 | PA      | $14353906.29  | 4.97%             | 2027-03-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 1.125% 08/31/2028                                | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2368000 | PA      | $2041937.51   | 0.71%             | 2028-08-31      | 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        |   1100000 | PA      | $1070781.80   | 0.37%             | 2053-01-01      | 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        |      5912 | PA      | $5941.81      | 0.00%             | 2036-11-01      | Variable      | 0.03%                 | 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        |      1971 | PA      | $2007.61      | 0.00%             | 2033-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 30YR 5% 09/01/2035#                                   | CUSIP: 31297S7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       686 | PA      | $694.49       | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 4.89% 3/33 #725130                                | CUSIP: 31402CST0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3712 | PA      | $3701.62      | 0.00%             | 2033-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 4.358% 10/33 #754672                              | CUSIP: 31403QMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1464 | PA      | $1483.51      | 0.00%             | 2033-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FEDERAL NAT MTG ASN GTD REM PA 5.5% 06/25/2035             | CUSIP: 31394EFK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     15650 | PA      | $15935.62     | 0.01%             | 2035-06-25      | Fixed         | 0.06%                 | 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        |    328893 | PA      | $292218.59    | 0.10%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 5.349% 12/34 #843013                              | CUSIP: 31407WSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1555 | PA      | $1551.72      | 0.00%             | 2034-12-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FNR 2002-60 FV 1ML+100 4/32                                | CUSIP: 31392EVD9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      3076 | PA      | $3111.84      | 0.00%             | 2032-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                           | UNITED STATES TREASURY BOND 3% 08/15/2052                  | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    620000 | PA      | $530875.00    | 0.18%             | 2052-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                  | UMBS 30YR 3% 12/01/2052 #TBA                               | CUSIP: 01F0306C7<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -2850000 | PA      | $-2522918.04  | -0.87%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 0.25% 10/31/2025                                 | CUSIP: 91282CAT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5600000 | PA      | $5019000.00   | 1.74%             | 2025-10-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 4.428% 7/36 #555923                               | CUSIP: 31385XSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7211 | PA      | $7284.27      | 0.00%             | 2036-07-01      | Variable      | 0.04%                 | 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        |    416548 | PA      | $386557.01    | 0.13%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 1.5% 10/31/2024                                  | CUSIP: 912828YM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3410000 | PA      | $3230708.61   | 1.12%             | 2024-10-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 15YR 6.0% 01/01/2024#G14293                           | CUSIP: 3128MC7E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3174 | PA      | $3176.79      | 0.00%             | 2024-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.00% 11/34 #735061                                   | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14189 | PA      | $14777.27     | 0.01%             | 2034-11-01      | Fixed         | 0.06%                 | 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        |   1945927 | PA      | $1584252.51   | 0.55%             | 2041-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 3% 06/30/2024                                    | CUSIP: 91282CEX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15800000 | PA      | $15427218.75  | 5.34%             | 2024-06-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 2.457% 02/01/2044#AL5114                          | CUSIP: 3138EMVG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6093 | PA      | $6093.15      | 0.00%             | 2044-02-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 0.25% 07/31/2025                                 | CUSIP: 91282CAB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17354000 | PA      | $15671475.56  | 5.43%             | 2025-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 1.5% 02/29/2024                                  | CUSIP: 91282CEA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18000000 | PA      | $17320781.16  | 6.00%             | 2024-02-29      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                          | Fidelity Cash Central Fund                                 | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  44227226 | NS      | $44236071.63  | 15.32%            |  |  |  | No            |                  1 | On Loan: No      |
| FANNIE MAE                                            | FNR 2010-15 FJ 1ML+93 6/36                                 | CUSIP: 31398MRG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    171770 | PA      | $172766.76    | 0.06%             | 2036-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 2.501% 04/01/2044#AV5913                          | CUSIP: 3138XHSB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4513 | PA      | $4503.10      | 0.00%             | 2044-04-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.50% 12/32 #735415                                   | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4365 | PA      | $4570.81      | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | 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        |    137413 | PA      | $112646.39    | 0.04%             | 2040-12-01      | Fixed         | 0.01%                 | 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        |    229009 | PA      | $187733.28    | 0.07%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS     | GNR 2007-59 FC 1ML+50 7/37                                 | CUSIP: 38375LQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     30907 | PA      | $30765.94     | 0.01%             | 2037-07-20      | Variable      | 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        |    224598 | PA      | $184117.11    | 0.06%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GOVERNMENT NAT MTG ASSN HECM 2018-H12 HA 3.25% 08/20/2068  | CUSIP: 38380LGR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    762998 | PA      | $735647.83    | 0.25%             | 2068-08-20      | Fixed         | 0.03%                 | 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        |       196 | NC      | $128231.53    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4.125% 10/31/2027                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6500000 | PA      | $6582773.47   | 2.28%             | 2027-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 2530 FE 1ML+60 2/32                                    | CUSIP: 31393FAU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      7731 | PA      | $7752.32      | 0.00%             | 2032-02-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 15YR 5.5% 08/01/2025#AL0517                           | CUSIP: 3138EGSF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4030 | PA      | $4019.96      | 0.00%             | 2025-08-01      | Fixed         | 0.06%                 | 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        |   2500000 | PA      | $2433595.00   | 0.84%             | 2052-12-01      | Fixed         | 0.04%                 | 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        |  -1000000 | PA      | $-923593.80   | -0.32%            | 2037-12-01      | Fixed         | 0.03%                 | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 5.80% 5/37 #1N1474                                | CUSIP: 3128QHT75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2595 | PA      | $2662.50      | 0.00%             | 2037-05-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2016-H13 FB T1Y+50 05/20/2066                          | CUSIP: 38376RUU8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    602538 | PA      | $600597.59    | 0.21%             | 2066-05-20      | 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                  | Long             | ABS-MBS          | USGA              | US        |   3500000 | PA      | $3484685.75   | 1.21%             | 2052-12-01      | Fixed         | 0.05%                 | 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        |   1000000 | PA      | $923593.80    | 0.32%             | 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        |      7706 | PA      | $7798.74      | 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        |  -2750000 | PA      | $-2737967.38  | -0.95%            | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 4.87% 10/35 #1M1052                               | CUSIP: 3128QFEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7147 | PA      | $7163.88      | 0.00%             | 2035-10-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 2.75% 04/30/2027                                 | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2200000 | PA      | $2098937.50   | 0.73%             | 2027-04-30      | Fixed         | 0.03%                 | 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        |       -43 | NC      | $-70760.52    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 15YR 4.5% 11/01/2025#AL8242                           | CUSIP: 3138ETEQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23979 | PA      | $23785.41     | 0.01%             | 2025-11-01      | Fixed         | 0.04%                 | 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        |    850000 | PA      | $804312.50    | 0.28%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 30YR 3.5% 11/01/2051#                                 | CUSIP: 3140QMKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    923633 | PA      | $850214.55    | 0.29%             | 2051-11-01      | Fixed         | 0.04%                 | 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        |    421646 | PA      | $415938.80    | 0.14%             | 2060-07-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 0.875% 09/30/2026                                | CUSIP: 91282CCZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6500000 | PA      | $5790332.02   | 2.01%             | 2026-09-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 30YR 4.5% 06/41#AI4294                                | CUSIP: 3138AHXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210339 | PA      | $209216.94    | 0.07%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER             | GNII II 4% 07/47#MA4587                                    | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    260088 | PA      | $251981.87    | 0.09%             | 2047-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 5.0% 09/15/2024             | CUSIP: 31395FLJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     44313 | PA      | $44541.02     | 0.02%             | 2024-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 0.5% 11/30/2023                                  | CUSIP: 91282CDM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22700000 | PA      | $21762738.34  | 7.54%             | 2023-11-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS     | GNR 2009-116 KF 1ML+53 12/39                               | CUSIP: 38376PA42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     23515 | PA      | $23417.20     | 0.01%             | 2039-12-16      | Variable      | 0.04%                 | 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        |   2450000 | PA      | $2082227.81   | 0.72%             | 2053-01-01      | 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        |    499903 | PA      | $503863.88    | 0.17%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 4.564% 4/33 #713937                               | CUSIP: 31401PEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13688 | PA      | $13842.32     | 0.00%             | 2033-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 2.75% 07/31/2027                                 | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3100000 | PA      | $2953718.75   | 1.02%             | 2027-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 7.54% 12/32 #849931                               | CUSIP: 31408FHG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73613 | PA      | $74692.38     | 0.03%             | 2032-12-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 2145 MZ 6.5% 4/29                                      | CUSIP: 3133TKE22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     51295 | PA      | $52142.35     | 0.02%             | 2029-04-15      | Fixed         | 0.07%                 | 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        |     94945 | PA      | $84298.90     | 0.03%             | 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        |    179000 | NC      | $-5385.97     | -0.00%            |  |  |  | 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        |  -1100000 | PA      | $-1070781.80  | -0.37%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 1.75% 07/31/2024                                 | CUSIP: 912828Y87<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7660000 | PA      | $7320985.18   | 2.54%             | 2024-07-31      | Fixed         | 0.02%                 | 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        |      1003 | PA      | $1004.74      | 0.00%             | 2035-07-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 30YR 3.5% 03/01/2052#RA6986                           | CUSIP: 3133KNXP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    284429 | PA      | $262086.45    | 0.09%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 20YR 1.5% 11/01/2040#MA4175                           | CUSIP: 31418DT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222568 | PA      | $182452.82    | 0.06%             | 2040-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 1929 EZ 7.5 2/2027                                     | CUSIP: 3133T9A39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     22367 | PA      | $23136.59     | 0.01%             | 2027-02-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 1.5% 09/30/2024                                  | CUSIP: 912828YH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7921000 | PA      | $7514120.49   | 2.60%             | 2024-09-30      | Fixed         | 0.01%                 | 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        |    143060 | PA      | $126794.79    | 0.04%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS     | GNR 2009-108 CF 1ML+60 11/39                               | CUSIP: 38376ENU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     37451 | PA      | $37382.22     | 0.01%             | 2039-11-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.00% 1/34 #255070                                    | CUSIP: 31371LJP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11788 | PA      | $12239.26     | 0.00%             | 2034-01-01      | Fixed         | 0.06%                 | 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        |    232997 | PA      | $191001.98    | 0.07%             | 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        |    410298 | PA      | $404963.09    | 0.14%             | 2060-08-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 4.60% 8/35 #735810                                | CUSIP: 31402RN39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8262 | PA      | $8337.45      | 0.00%             | 2035-08-01      | Variable      | 0.03%                 | 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        |     12076 | PA      | $12149.28     | 0.00%             | 2042-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 0.125% 10/15/2023                                | CUSIP: 91282CAP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    574000 | PA      | $551309.06    | 0.19%             | 2023-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 30YR 4% 09/46#BC2843                                  | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320631 | PA      | $312701.33    | 0.11%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 5.65% 12/32 #713329                               | CUSIP: 31401NPN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36789 | PA      | $37411.67     | 0.01%             | 2032-12-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 2.25% 04/30/2024                                 | CUSIP: 9128286R6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3560000 | PA      | $3444717.20   | 1.19%             | 2024-04-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS     | GNR 2008-2 FD 1ML+48 1/38                                  | CUSIP: 38374DMX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      8082 | PA      | $8036.76      | 0.00%             | 2038-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 4.56% 6/33 #780605                                | CUSIP: 31342AU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10698 | PA      | $10774.63     | 0.00%             | 2033-06-01      | Variable      | 0.03%                 | 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        |    800000 | PA      | $718625.00    | 0.25%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 4.801% 2/33 #695019                               | CUSIP: 31400RDY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       910 | PA      | $923.24       | 0.00%             | 2033-02-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 28YR 6.00% 6/36 #889046                               | CUSIP: 31410GWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47315 | PA      | $49293.36     | 0.02%             | 2036-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GOVERNMENT NAT MTG ASSN HECM 2015-H30 HA VAR 11/20/2065    | CUSIP: 38376RLC8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     13482 | PA      | $12920.56     | 0.00%             | 2062-09-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LN MTG CORP MTN                              | FED HOME LN MTG CORP 4% 11/25/2024                         | CUSIP: 3134GXR71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   1500000 | PA      | $1478978.00   | 0.51%             | 2024-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GOVERNMENT NAT MTG ASSN HECM 2.75% 05/20/2064              | CUSIP: 38375UJP6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     18361 | PA      | $18305.26     | 0.01%             | 2064-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 0.375% 12/31/2025                                | CUSIP: 91282CBC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1226000 | PA      | $1097605.24   | 0.38%             | 2025-12-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.00% 4/35 #735503                                    | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29626 | PA      | $30790.03     | 0.01%             | 2035-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 5.12% 10/36 #1A1201                               | CUSIP: 3128NFKN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13612 | PA      | $13605.13     | 0.00%             | 2036-10-01      | Variable      | 0.03%                 | 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        |    240424 | PA      | $196489.32    | 0.07%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.50% 8/36 #888034                                    | CUSIP: 31410FSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7467 | PA      | $7811.19      | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GOVERNMENT NAT MTG ASSN HECM 2015-H19 FA 1ML+20 04/63      | CUSIP: 38376RFZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3511 | PA      | $3445.93      | 0.00%             | 2063-04-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER             | GNII II 3.5% 02/20/2050#MA6475                             | CUSIP: 36179VFQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10364 | PA      | $9725.02      | 0.00%             | 2050-02-20      | 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 2.4% 03/25/2032             | CUSIP: 3137H73P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    650000 | PA      | $552260.15    | 0.19%             | 2032-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                      | ISRAEL STATE OF 5.5% 09/18/2023                            | CUSIP: 46513EFF4<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |  11058000 | PA      | $11096963.19  | 3.84%             | 2023-09-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRIVATE EXPORT FUNDING CORP                           | PRIVATE EXPORT FUNDING CORP 1.75% 11/15/2024               | CUSIP: 742651DX7<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | USGSE             | US        |   1050000 | PA      | $988180.27    | 0.34%             | 2024-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER             | GNII II 3.5% 11/20/2050#MA6997                             | CUSIP: 36179VX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    263888 | PA      | $247257.80    | 0.09%             | 2050-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 15YR 3% 09/01/2034#SB0072                             | CUSIP: 3132CWCH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    349143 | PA      | $332320.19    | 0.12%             | 2034-09-01      | 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        |    100000 | PA      | $91671.88     | 0.03%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GOVERNMENT NAT MA 2016-H20 FM 1ML+40 12/20/2062            | CUSIP: 38376RYJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      4278 | PA      | $4189.66      | 0.00%             | 2062-12-20      | Variable      | 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