# EDGAR Filing Document

**Accession Number:** 0000719451
**File Stem:** 0001752724-25-176697
**Filing Date:** 2025-7
**Character Count:** 100921
**Document Hash:** e4a660cb6ce44c6122b8ea6346a9e8a5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-176697.hdr.sgml**: 20250724

**ACCESSION NUMBER**: 0001752724-25-176697

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250724

**DATE AS OF CHANGE**: 20250724

**PERIOD START**: 20251130

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY ADVISOR SERIES IV
- **CENTRAL INDEX KEY:** 0000719451

**ORGANIZATION NAME:**
- **EIN:** 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:** 251146288

**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:** 2025-11-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $181614107.60

**Total Liabilities:** $7148350.48

**Net Assets:** $174465757.12

**Delayed Delivery Securities:** $4100839.86

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 382.11996805 | **1-Year:** 18548.01152322 | **5-Year:** 19012.96879349 | **10-Year:** 3654.12418880 | **30-Year:** 1767.69282249

**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 | 0.58%                | 0.88%                | -0.34%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $133919.82               | $139011.10                                 |
| Month 2  | $24761.69                | $933426.56                                 |
| Month 3  | $-52974.40               | $-1005772.91                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+125 10/25/2054             | CUSIP: 3137HJQ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    230609 | PA      | $230176.94    | 0.13%             | 2054-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 2019-K735 A2 2.862% 05/25/2026     | CUSIP: 3137FMU67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    574428 | PA      | $566001.10    | 0.32%             | 2026-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 2.995% 12/25/2025                  | CUSIP: 3137BN6G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1154701 | PA      | $1143947.10   | 0.66%             | 2025-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4.25% 03/15/2027                                        | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    460000 | PA      | $462371.88    | 0.27%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                           | UNITED STATES TREASURY BOND 4.625% 02/15/2055                     | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    650000 | PA      | $620022.46    | 0.36%             | 2055-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 4.87% 1/35 #735833                                       | CUSIP: 31402RPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       839 | PA      | $861.65       | 0.00%             | 2035-01-01      | Variable      | 0.07%                 | 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      | $1098776.25   | 0.63%             | 2027-01-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                    | CUSIP: 3137H5J57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     74594 | PA      | $65779.23     | 0.04%             | 2047-11-25      | Fixed         | 0.03%                 | 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        |     26571 | PA      | $27634.04     | 0.02%             | 2041-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2012-H03 FA TSFR1M+81.448 1/20/62 RVM                         | CUSIP: 38375BPJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     30997 | PA      | $31181.97     | 0.02%             | 2062-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H12 FA TSFR1M+60.448 5/61                                | CUSIP: 38375BLS9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     49141 | PA      | $49337.67     | 0.03%             | 2061-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 20YR 3.5% 07/01/2032#G31067                                  | CUSIP: 3132J4MR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75500 | PA      | $73703.54     | 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        |      3713 | PA      | $3829.79      | 0.00%             | 2037-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2010-H27 FA TSFR1M+38 12/60                                   | CUSIP: 38375BJK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     48004 | PA      | $48114.14     | 0.03%             | 2060-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FNR 2002-49 FB SOFR30A+71.448 11/31                               | CUSIP: 31392DYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      8306 | PA      | $8282.25      | 0.00%             | 2031-11-18      | Variable      | 0.05%                 | 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        |       301 | PA      | $307.45       | 0.00%             | 2036-06-01      | Variable      | 0.07%                 | 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        |      7757 | PA      | $7890.51      | 0.00%             | 2035-07-01      | Variable      | 0.07%                 | 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        |     14417 | PA      | $14479.56     | 0.01%             | 2037-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055             | CUSIP: 3137HJEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    196348 | PA      | $195777.97    | 0.11%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FNR 2001-38 QF SOFR30A+109.448 8/31                               | CUSIP: 313920QV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      8325 | PA      | $8392.08      | 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        |     25019 | PA      | $22525.20     | 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        |      9972 | PA      | $10291.52     | 0.01%             | 2044-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4% 01/31/2031                                           | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    380000 | PA      | $379064.84    | 0.22%             | 2031-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 30YR 3% 03/01/2050#SD0517                                    | CUSIP: 3132DMSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11347 | PA      | $9786.93      | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4.25% 06/30/2029                                        | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5430000 | PA      | $5496546.28   | 3.15%             | 2029-06-30      | Fixed         | 0.04%                 | 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        |       426 | PA      | $434.09       | 0.00%             | 2034-07-01      | Variable      | 0.07%                 | 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      | $768281.25    | 0.44%             | 2026-10-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 3.347% 11/25/2026                  | CUSIP: 3137BTUM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4727705 | PA      | $4658308.59   | 2.67%             | 2026-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                | US LONG BOND(CBT) FUT SEP25 USU5                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         5 | NC      | $2804.80      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H13 FA TSFR1M+61.448 4/61                                | CUSIP: 38375BLW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     44259 | PA      | $44414.22     | 0.03%             | 2061-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4.125% 10/31/2029                                       | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1180000 | PA      | $1188527.34   | 0.68%             | 2029-10-31      | Fixed         | 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: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       355 | PA      | $1.51         | 0.00%             | 2026-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 30YR 6% 07/01/2053#FS5067                                    | CUSIP: 3140XLTZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207955 | PA      | $212295.93    | 0.12%             | 2053-07-01      | Fixed         | 0.06%                 | 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        |       520 | PA      | $535.34       | 0.00%             | 2036-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4.375% 11/30/2030                                       | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1549000 | PA      | $1574957.85   | 0.90%             | 2030-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H21 FA TSFR1M+71.448 10/61                               | CUSIP: 38375BNE8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     46654 | PA      | $46896.06     | 0.03%             | 2061-10-20      | Variable      | 0.05%                 | 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        |      2865 | PA      | $2989.02      | 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        |     21219 | PA      | $22095.09     | 0.01%             | 2036-08-01      | Fixed         | 0.07%                 | 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        |     15163 | PA      | $15818.76     | 0.01%             | 2035-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 3.875% 12/31/2027                                       | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10479000 | PA      | $10480228.14  | 6.01%             | 2027-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                  | UMBS 30YR 6% 06/01/2055 #TBA                                      | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2550000 | PA      | $2575599.71   | 1.48%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4.625% 02/15/2035                                       | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1560000 | PA      | $1588790.89   | 0.91%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4.25% 02/28/2031                                        | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    450000 | PA      | $454482.42    | 0.26%             | 2031-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 30YR 3% 08/01/2049#MA3744                                    | CUSIP: 31418DES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21610 | PA      | $18686.29     | 0.01%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA GTD MTG PASS THRU CTF SOFR30A+120 06/25/2054                 | CUSIP: 3136BUGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    274405 | PA      | $273256.57    | 0.16%             | 2054-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 30YR 4% 07/01/46#BC1443                                      | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220917 | PA      | $207485.44    | 0.12%             | 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        |       488 | PA      | $496.58       | 0.00%             | 2035-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF TSFR1M+76.448 05/20/2061 | CUSIP: 38375BWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1525 | PA      | $1524.73      | 0.00%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                           | UNITED STATES TREASURY BOND 4.625% 11/15/2044                     | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    190000 | PA      | $182489.06    | 0.10%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 3.243% 04/25/2027                  | CUSIP: 3137F1G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $882655.92    | 0.51%             | 2027-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 3.151% 11/25/2025                  | CUSIP: 3137BMTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2114958 | PA      | $2100365.55   | 1.20%             | 2025-11-25      | Fixed         | 0.03%                 | 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        |      6130 | PA      | $6272.72      | 0.00%             | 2035-07-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                  | UMBS 30YR 2% 06/01/2055 #TBA                                      | CUSIP: 01F020661<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $388652.30    | 0.22%             | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT CSTR 08/25/2025                    | CUSIP: 3137BLW95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    839085 | PA      | $835673.23    | 0.48%             | 2025-08-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA GTD MTG PASS THRU CTF SOFR30A+140 02/25/2055                 | CUSIP: 3136BUWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    228726 | PA      | $228241.84    | 0.13%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 2526 FC SOFR30A+51.448 11/32                                  | CUSIP: 31393FGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      7891 | PA      | $7879.09      | 0.00%             | 2032-11-15      | Variable      | 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        |        73 | PA      | $74.26        | 0.00%             | 2033-03-01      | Variable      | 0.08%                 | 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        |      9576 | PA      | $9871.46      | 0.01%             | 2037-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FNR 2002-74 FV SOFR30A+56.448 11/32                               | CUSIP: 31392FRJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      7656 | PA      | $7654.17      | 0.00%             | 2032-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 30YR 6% 12/01/2052#RA8306                                    | CUSIP: 3133KQGP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135607 | PA      | $138394.98    | 0.08%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4.125% 03/31/2031                                       | CUSIP: 91282CKF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    270000 | PA      | $270769.92    | 0.16%             | 2031-03-31      | Fixed         | 0.04%                 | 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        |      7267 | PA      | $7550.77      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H17 FA TSFR1M+64.448 6/61                                | CUSIP: 38375BML3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     41402 | PA      | $41573.14     | 0.02%             | 2061-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FNR 2002-75 FA SOFR30A+111.448 11/32                              | CUSIP: 31392FMU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      3457 | PA      | $3479.25      | 0.00%             | 2032-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                  | UMBS 30YR 6% 07/01/2055 #TBA                                      | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1050000 | PA      | $1059187.61   | 0.61%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2015-H13 FL TSFR1M+39.448 05/63                               | CUSIP: 38376RCN4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1945 | PA      | $1935.49      | 0.00%             | 2063-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 1.25% 12/31/2026                                        | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7119000 | PA      | $6823116.56   | 3.91%             | 2026-12-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H05 FA TSFR1M+61.448 12/60                               | CUSIP: 38375BKD3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     46305 | PA      | $46471.39     | 0.03%             | 2060-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS     | GNR 2008-83 FB TSFR1M+101.448 9/38                                | CUSIP: 38375YFB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     33185 | PA      | $33560.46     | 0.02%             | 2038-09-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                 | LCH OIS SOFRV3.25% MAC 06/18/35                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -1037000 | NC      | $-1049.49     | -0.00%            |  |  |  | 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        |     16836 | PA      | $17523.97     | 0.01%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4.125% 03/31/2032                                       | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1460000 | PA      | $1457034.38   | 0.84%             | 2032-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 2.282% 07/25/2026                  | CUSIP: 3137FNWX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    983249 | PA      | $961358.63    | 0.55%             | 2026-07-25      | Fixed         | 0.02%                 | 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        |      2161 | PA      | $2204.03      | 0.00%             | 2035-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2012-H07 FA TSFR1M+74.448 3/20/62                             | CUSIP: 38375BQA3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     30662 | PA      | $30821.98     | 0.02%             | 2062-03-20      | Variable      | 0.05%                 | 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        |     23842 | PA      | $24434.09     | 0.01%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 3.75% 08/25/2044                   | CUSIP: 3137H7FZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    220635 | PA      | $212359.96    | 0.12%             | 2044-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 30YR 5% 11/01/2052#FS3295                                    | CUSIP: 3140XJUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85227 | PA      | $83459.55     | 0.05%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                 | LCH OIS SOFRV3.25% MAC 06/18/28                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -8978000 | NC      | $-35917.48    | -0.02%            |  |  |  | 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        |     68794 | PA      | $67326.22     | 0.04%             | 2041-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FEDERAL NAT MTG ASN GTD REM PA 3% 05/25/2044                      | CUSIP: 3136BL6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    513310 | PA      | $484873.07    | 0.28%             | 2044-05-25      | Fixed         | 0.03%                 | 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        |     25303 | PA      | $26359.79     | 0.02%             | 2035-12-01      | Fixed         | 0.07%                 | 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        |      5217 | PA      | $5374.30      | 0.00%             | 2044-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FEDERAL NAT MTG ASN GTD REM PA 2022-7 A 3% 05/25/2048             | CUSIP: 3136BLRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    186036 | PA      | $168978.46    | 0.10%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                | US 10YR NOTE FUT (CBT)SEP25 TYU5                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        11 | NC      | $15194.30     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                  | UMBS 30YR 2% 06/01/2055 #TBA                                      | CUSIP: 01F020661<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -100000 | PA      | $-77730.46    | -0.04%            | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H14 FC TSFR1M+61.448 5/61                                | CUSIP: 38375BMB5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     39702 | PA      | $39853.39     | 0.02%             | 2061-05-20      | Variable      | 0.05%                 | 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        |      1659 | PA      | $1722.99      | 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 TSFR1M+81.448 11/61                               | CUSIP: 38375BNX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     52637 | PA      | $52951.82     | 0.03%             | 2061-11-20      | Variable      | 0.05%                 | 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        |      7548 | PA      | $7804.08      | 0.00%             | 2036-04-01      | Variable      | 0.07%                 | 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        |     88687 | PA      | $91448.13     | 0.05%             | 2036-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 15YR 2% 02/01/2028#FS3865                                    | CUSIP: 3140XKJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40618 | PA      | $39558.47     | 0.02%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4.375% 12/15/2026                                       | CUSIP: 91282CJP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $150808.59    | 0.09%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 20YR 3% 09/01/2041#FM9587                                    | CUSIP: 3140XDUM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67942 | PA      | $61149.26     | 0.04%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H14 FB TSFR1M+61.448 5/61                                | CUSIP: 38375BLZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     39343 | PA      | $39515.15     | 0.02%             | 2061-05-20      | Variable      | 0.05%                 | 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        |       811 | PA      | $824.81       | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 3.75% 08/25/2025                   | CUSIP: 3137FJXQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    925576 | PA      | $922136.09    | 0.53%             | 2025-08-25      | Fixed         | 0.04%                 | 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        |       674 | PA      | $688.98       | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4% 10/31/2029                                           | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2320000 | PA      | $2325346.88   | 1.33%             | 2029-10-31      | Fixed         | 0.04%                 | 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      | $534857.81    | 0.31%             | 2026-09-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 2448 FT SOFR30A+111.448 3/32                                  | CUSIP: 31392KYV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      8199 | PA      | $8248.99      | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 30YR 3% 10/01/2049#SD8016                                    | CUSIP: 3132DV3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6267 | PA      | $5413.03      | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | 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        |    145917 | PA      | $147815.80    | 0.08%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                            | FNR 2010-39 FG SOFR30A+103.448 3/36                               | CUSIP: 31398PU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     79397 | PA      | $79923.06     | 0.05%             | 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        |       103 | PA      | $101.80       | 0.00%             | 2059-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 3.625% 03/31/2028                                       | CUSIP: 91282CGT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2250000 | PA      | $2235937.50   | 1.28%             | 2028-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055             | CUSIP: 3137HJYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    460719 | PA      | $458725.49    | 0.26%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 3.43% 01/25/2027                   | CUSIP: 3137BVZ82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $394152.24    | 0.23%             | 2027-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 0.75% 08/31/2026                                        | CUSIP: 91282CCW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4567000 | PA      | $4384141.61   | 2.51%             | 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        |    239912 | PA      | $225175.70    | 0.13%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 30YR 6% 06/01/2053#CB6539                                    | CUSIP: 3140QSHR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214659 | PA      | $218871.36    | 0.13%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H07 FA TSFR1M+61.448 3/61                                | CUSIP: 38375BKP6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     43622 | PA      | $43801.80     | 0.03%             | 2061-02-20      | Variable      | 0.05%                 | 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        |     16457 | PA      | $16789.76     | 0.01%             | 2034-04-01      | Variable      | 0.06%                 | 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        |      5266 | PA      | $5485.60      | 0.00%             | 2042-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2012-H06 FA TSFR1M+74.448 1/62                                | CUSIP: 38375BPQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     59391 | PA      | $59739.46     | 0.03%             | 2062-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FEDERAL NAT MTG ASN GTD REM PA 2022-1 KA 3% 05/25/2048            | CUSIP: 3136BLMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    131289 | PA      | $119213.76    | 0.07%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 2024-K523 AS TSFR1M+55 05/25/2029  | CUSIP: 3137HDJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1199464 | PA      | $1196925.79   | 0.69%             | 2029-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 2711 FC SOFR30A+101.448 2/33                                  | CUSIP: 31394LYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     27049 | PA      | $27199.02     | 0.02%             | 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        |        67 | PA      | $70.21        | 0.00%             | 2035-10-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS     | GNR 2008-73 FA TSFR1M+97.448 8/38                                 | CUSIP: 38375XJZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     43726 | PA      | $44174.09     | 0.03%             | 2038-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 2770 FH SOFR30A+51.448 3/34                                   | CUSIP: 31394TZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     31021 | PA      | $30782.32     | 0.02%             | 2034-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNMA 2017-H06 FA T1Y+35 08/66                                     | CUSIP: 38376RV60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     72820 | PA      | $72459.70     | 0.04%             | 2066-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                    | CUSIP: 3137H5UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    113977 | PA      | $97686.27     | 0.06%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                           | UNITED STATES TREASURY BOND 4.5% 11/15/2054                       | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    130000 | PA      | $121346.88    | 0.07%             | 2054-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+120 02/25/2055             | CUSIP: 3137HJZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     94794 | PA      | $93980.41     | 0.05%             | 2055-02-25      | Variable      | 0.06%                 | 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        |     11887 | PA      | $12372.58     | 0.01%             | 2042-01-01      | Variable      | 0.07%                 | 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        |     12763 | PA      | $13262.22     | 0.01%             | 2034-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 30YR 6.5% 10/01/2053#RJ0002                                  | CUSIP: 3142GQAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177881 | PA      | $184332.86    | 0.11%             | 2053-10-01      | Fixed         | 0.07%                 | 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        |      2012 | PA      | $2072.06      | 0.00%             | 2044-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 12M+1.75 9/1/41 #1B8787                                  | CUSIP: 3128UHEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16341 | PA      | $16927.32     | 0.01%             | 2041-09-01      | Variable      | 0.07%                 | 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: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    173804 | PA      | $175368.82    | 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      | $14818812.58  | 8.49%             | 2027-03-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040                      | CUSIP: 3137FXBN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     71228 | PA      | $63473.72     | 0.04%             | 2040-10-25      | Fixed         | 0.03%                 | 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        |      3404 | PA      | $3497.08      | 0.00%             | 2036-11-01      | Variable      | 0.07%                 | 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        |      1111 | PA      | $1134.20      | 0.00%             | 2033-10-01      | Variable      | 0.07%                 | 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        |       369 | PA      | $372.01       | 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        |      1633 | PA      | $1675.59      | 0.00%             | 2033-03-01      | Variable      | 0.07%                 | 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        |       859 | PA      | $871.65       | 0.00%             | 2033-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 2.653% 08/25/2026                  | CUSIP: 3137BSP72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1174777.92   | 0.67%             | 2026-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT K737 A2 2.525% 10/25/2026          | CUSIP: 3137FQXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2927877.90   | 1.68%             | 2026-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 3.01% 07/25/2025                   | CUSIP: 3137BLMZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124058 | PA      | $123679.49    | 0.07%             | 2025-07-25      | 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        |       915 | PA      | $929.85       | 0.00%             | 2034-12-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                 | LCH OIS SOFRV3.5% MAC 06/18/45                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -1524000 | NC      | $9524.59      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FNR 2002-60 FV SOFR30A+111.448 4/32                               | CUSIP: 31392EVD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      1687 | PA      | $1698.38      | 0.00%             | 2032-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 15YR 3.5% 12/01/2035#FM7459                                  | CUSIP: 3140XBJD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49426 | PA      | $47827.54     | 0.03%             | 2035-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 0.25% 10/31/2025                                        | CUSIP: 91282CAT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    220000 | PA      | $216347.66    | 0.12%             | 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        |      4245 | PA      | $4316.13      | 0.00%             | 2036-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4% 07/31/2029                                           | CUSIP: 91282CLC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1240000 | PA      | $1243272.73   | 0.71%             | 2029-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 3.5% 09/30/2026                                         | CUSIP: 91282CLP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1280000 | PA      | $1271000.00   | 0.73%             | 2026-09-30      | Fixed         | 0.04%                 | 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        |      9594 | PA      | $9982.22      | 0.01%             | 2034-11-01      | Fixed         | 0.06%                 | 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        |      5378 | PA      | $5541.14      | 0.00%             | 2044-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 30YR 6% 06/01/2053#CB6538                                    | CUSIP: 3140QSHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290147 | PA      | $296203.81    | 0.17%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 3.875% 11/30/2027                                       | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4110000 | PA      | $4109678.93   | 2.36%             | 2027-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4.125% 03/31/2029                                       | CUSIP: 91282CKG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    530000 | PA      | $533975.00    | 0.31%             | 2029-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4% 02/29/2028                                           | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3140000 | PA      | $3150303.13   | 1.81%             | 2028-02-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                          | Fidelity Cash Central Fund                                        | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  11138159 | NS      | $11140386.40  | 6.39%             |  |  |  | No            |                  1 | On Loan: No      |
| FANNIE MAE                                            | FNR 2010-15 FJ SOFR30A+104.448 6/36                               | CUSIP: 31398MRG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    109797 | PA      | $110559.48    | 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        |      3883 | PA      | $4002.01      | 0.00%             | 2044-04-01      | Variable      | 0.06%                 | 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        |      2583 | PA      | $2684.37      | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                 | LCH OIS SOFRV3.25% MAC 06/18/30                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    840000 | NC      | $6597.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT K048 A2 3.186% 06/25               | CUSIP: 3137BLAC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    341735 | PA      | $340726.56    | 0.20%             | 2025-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS     | GNR 2007-59 FC TSFR1M+61.448 7/37                                 | CUSIP: 38375LQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     22064 | PA      | $21991.50     | 0.01%             | 2037-07-20      | Variable      | 0.05%                 | 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        |    410642 | PA      | $398344.96    | 0.23%             | 2068-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 2.57% 07/25/2026                   | CUSIP: 3137BRQJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    996934 | PA      | $978272.20    | 0.56%             | 2026-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4.125% 10/31/2027                                       | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6500000 | PA      | $6535292.99   | 3.75%             | 2027-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                           | USTN TII 2.375% 02/15/2055                                        | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $385707.17    | 0.22%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 2530 FE SOFR30A+71.448 2/32                                   | CUSIP: 31393FAU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      4650 | PA      | $4649.30      | 0.00%             | 2032-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 3.625% 05/31/2028                                       | CUSIP: 91282CHE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2400000 | PA      | $2383500.00   | 1.37%             | 2028-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHMS K059 A2 CSTR 09/25/2026                                      | CUSIP: 3137BSRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $295046.46    | 0.17%             | 2026-09-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4.125% 10/31/2026                                       | CUSIP: 91282CLS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11930000 | PA      | $11943980.53  | 6.85%             | 2026-10-31      | Fixed         | 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        |        13 | PA      | $13.30        | 0.00%             | 2025-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 20YR 3% 10/01/2040#FM7397                                    | CUSIP: 3140XBGF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180480 | PA      | $164184.08    | 0.09%             | 2040-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                | US ULTRA BOND CBT FUT SEP25 WNU5                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         1 | NC      | $3044.85      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 3.5% 09/25/2051                    | CUSIP: 3137H6XY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    384260 | PA      | $368946.48    | 0.21%             | 2051-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                        | CITI SWAP PAY 3.694 12/12/2028                                    | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4300000 | NC      | $171776.49    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                    | CUSIP: 3137H5F77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     98310 | PA      | $86599.59     | 0.05%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 3.875% 03/15/2028                                       | CUSIP: 91282CMS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2550000 | PA      | $2551394.54   | 1.46%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | 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        |      1347 | PA      | $1383.90      | 0.00%             | 2037-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA GTD MTG PASS THRU CTF SOFR30A+115 02/25/2055                 | CUSIP: 3136BUWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    123824 | PA      | $123488.17    | 0.07%             | 2055-02-25      | 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        |     58948 | PA      | $58751.88     | 0.03%             | 2066-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                    | CUSIP: 3137H5KC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    382252 | PA      | $339378.47    | 0.19%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                 | LCH OIS SOFRV3.25% MAC 06/18/27                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -3290000 | NC      | $4835.72      | 0.00%             |  |  |  | No            |                  2 | 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        |      3475 | PA      | $3586.19      | 0.00%             | 2036-07-01      | Variable      | 0.08%                 | 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        |      5888 | PA      | $6020.01      | 0.00%             | 2035-10-01      | Variable      | 0.07%                 | No            |                  2 | 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        |        88 | PA      | $87.77        | 0.00%             | 2025-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                        | CITI SWAP REC 3.694 12/12/2028                                    | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4300000 | NC      | $126139.34    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 30YR 3% 04/01/2050#SD0516                                    | CUSIP: 3132DMSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11376 | PA      | $9812.24      | 0.01%             | 2050-04-01      | Fixed         | 0.03%                 | 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        |    145180 | PA      | $142623.57    | 0.08%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 30YR 5.5% 09/01/2052#SD1579                                  | CUSIP: 3132DNXG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    376999 | PA      | $376638.38    | 0.22%             | 2052-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4.125% 02/15/2027                                       | CUSIP: 91282CKA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8140000 | PA      | $8159714.10   | 4.68%             | 2027-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                | US 2YR NOTE (CBT) FUT SEP25 TUU5                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       134 | NC      | $55254.23     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                 | LCH OIS SOFRV3.25% MAC 06/18/29                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -2890000 | NC      | $20400.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS     | GNR 2009-116 KF TSFR1M+64.448 12/39                               | CUSIP: 38376PA42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     17096 | PA      | $17037.65     | 0.01%             | 2039-12-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4% 01/15/2027                                           | CUSIP: 91282CJT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1050000 | PA      | $1050123.05   | 0.60%             | 2027-01-15      | Fixed         | 0.04%                 | 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        |     10322 | PA      | $10471.22     | 0.01%             | 2033-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 3.5% 04/25/2052                    | CUSIP: 3137H6RW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    166141 | PA      | $156575.17    | 0.09%             | 2052-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 2.75% 07/31/2027                                        | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6310000 | PA      | $6161369.91   | 3.53%             | 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        |     29379 | PA      | $30021.42     | 0.02%             | 2032-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 1.5% 06/25/2051                    | CUSIP: 3137H1B70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    258571 | PA      | $210833.99    | 0.12%             | 2051-06-25      | Fixed         | 0.01%                 | 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        |     23731 | PA      | $24071.95     | 0.01%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 3.3% 10/25/2026                    | CUSIP: 3137BTAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1476548.85   | 0.85%             | 2026-10-25      | Fixed         | 0.03%                 | 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        |       533 | PA      | $548.03       | 0.00%             | 2035-07-01      | Variable      | 0.07%                 | 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        |       474 | PA      | $474.66       | 0.00%             | 2027-02-17      | Fixed         | 0.07%                 | 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        |    116219 | PA      | $99587.89     | 0.06%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                | US 5YR NOTE (CBT) FUT SEP25 FVU5                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        97 | NC      | $82498.26     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS     | GNR 2009-108 CF TSFR1M+71.448 11/39                               | CUSIP: 38376ENU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     29789 | PA      | $29748.47     | 0.02%             | 2039-11-16      | Variable      | 0.05%                 | 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        |      7460 | PA      | $7743.05      | 0.00%             | 2034-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                  | UMBS 30YR 2% 07/01/2055 #TBA                                      | CUSIP: 01F020679<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $77773.43     | 0.04%             | 2055-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2010-H19 FG TSFR1M+41.448 8/60                                | CUSIP: 38375BFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    101331 | PA      | $101428.94    | 0.06%             | 2060-08-20      | Variable      | 0.05%                 | 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        |      4214 | PA      | $4318.90      | 0.00%             | 2035-08-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM RFT1Y+190 9 10/42#849255                                 | CUSIP: 31300MH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7653 | PA      | $7933.32      | 0.00%             | 2042-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 3.208% 02/25/2026                  | CUSIP: 3137FLN34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    456095 | PA      | $452276.59    | 0.26%             | 2026-02-25      | Fixed         | 0.03%                 | 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        |    257923 | PA      | $242080.76    | 0.14%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                  | UMBS 30YR 6% 06/01/2055 #TBA                                      | CUSIP: 01F060667<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -1900000 | PA      | $-1919074.29  | -1.10%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS     | GNR 2008-2 FD TSFR1M+59.448 1/38                                  | CUSIP: 38374DMX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      5781 | PA      | $5755.27      | 0.00%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047                      | CUSIP: 3136BLES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1020918 | PA      | $881867.64    | 0.51%             | 2047-10-25      | Fixed         | 0.02%                 | 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        |      7706 | PA      | $7806.28      | 0.00%             | 2033-06-01      | Variable      | 0.07%                 | 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        |       743 | PA      | $753.00       | 0.00%             | 2033-02-01      | Variable      | 0.06%                 | 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        |     30824 | PA      | $32080.17     | 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        |     10870 | PA      | $10602.39     | 0.01%             | 2062-09-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 3.5% 09/30/2029                                         | CUSIP: 91282CLN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11130000 | PA      | $10938703.13  | 6.27%             | 2029-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 30YR 6.5% 10/01/2053#RJ0001                                  | CUSIP: 3142GQAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174941 | PA      | $181396.14    | 0.10%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4.875% 10/31/2028                                       | CUSIP: 91282CJF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10612000 | PA      | $10941552.37  | 6.27%             | 2028-10-31      | Fixed         | 0.05%                 | 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        |     19249 | PA      | $20020.38     | 0.01%             | 2035-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 2.673% 03/25/2026                  | CUSIP: 3137BPW21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1170842 | PA      | $1153583.86   | 0.66%             | 2026-03-25      | Fixed         | 0.03%                 | 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        |      4746 | PA      | $4827.53      | 0.00%             | 2036-10-01      | Variable      | 0.06%                 | 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        |      4216 | PA      | $4391.74      | 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 TSFR1M+31.448 04/63      | CUSIP: 38376RFZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1783 | PA      | $1766.34      | 0.00%             | 2063-04-20      | Variable      | 0.05%                 | 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        |      7814 | PA      | $7025.56      | 0.00%             | 2050-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA GTD MTG PASS THRU CTF 2025-7 DF SOFR30A+140 09/25/2054       | CUSIP: 3136BUWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    231678 | PA      | $230966.31    | 0.13%             | 2054-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 3.5% 01/25/2051                    | CUSIP: 3137H77F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    160783 | PA      | $151302.57    | 0.09%             | 2051-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA GTD MTG PASS THRU CTF SOFR30A+ 09/25/2054                    | CUSIP: 3136BUW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    148877 | PA      | $148416.92    | 0.09%             | 2054-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GOVERNMENT NAT MA 2016-H20 FM TSFR1M+51.448 12/20/2062            | CUSIP: 38376RYJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3311 | PA      | $3293.09      | 0.00%             | 2062-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer