# EDGAR Filing Document

**Accession Number:** 0000803013
**File Stem:** 0000803013-25-000020
**Filing Date:** 2025-8
**Character Count:** 214549
**Document Hash:** a2096da4b05f272a4f61aeb8dd67fa82
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000803013-25-000020.hdr.sgml**: 20250822

**ACCESSION NUMBER**: 0000803013-25-000020

**CONFORMED SUBMISSION TYPE**: N-CSRS

**PUBLIC DOCUMENT COUNT**: 22

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250822

**DATE AS OF CHANGE**: 20250822

**EFFECTIVENESS DATE**: 20250822

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY GARRISON STREET TRUST
- **CENTRAL INDEX KEY:** 0000803013

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

**FILING VALUES:**
- **FORM TYPE:** N-CSRS
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04861
- **FILM NUMBER:** 251243712

**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 ADVISOR SERIES V
- **DATE OF NAME CHANGE:** 19930706

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY INVESTMENT SERIES
- **DATE OF NAME CHANGE:** 19930706

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PLYMOUTH INVESTMENT SERIES /NY/
- **DATE OF NAME CHANGE:** 19920206

## Series and Classes Contracts Data

### VIP Investment Grade Central Fund (Series ID: S000013236)

| Class ID   | Class Name                        | Ticker Symbol   |
|:---|:---|:---|
| C000035576 | VIP Investment Grade Central Fund |  |

?xml version='1.0' encoding='ASCII'? Prospectus - Investment Objective

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

**FORM N-CSR**

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED**

**MANAGEMENT INVESTMENT COMPANIES**

Investment Company Act file number <u>811-04861</u>

<u>Fidelity Garrison Street Trust</u>

(Exact name of registrant as specified in charter)

<u>245 Summer St., Boston, MA 02210</u>

(Address of principal executive offices) &nbsp;&nbsp;&nbsp;&nbsp; (Zip code)

Nicole Macarchuk, Secretary

245 Summer St.

<u>Boston, Massachusetts 02210</u>

(Name and address of agent for service)

Registrant's telephone number, including area code:

<u>617-563-7000</u>

---

| | |
|:---|:---|
| &nbsp;&nbsp;Date of fiscal year end: | &nbsp;&nbsp;December 31 |
| &nbsp;&nbsp;Date of reporting period: | &nbsp;&nbsp;June 30, 2025 |

---

Item 1.

<u>Reports to Stockholders</u>

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JUNE 30, 2025 |
| Fidelity® VIP Investment Grade Central Fund<br> **VIP Investment Grade Central Fund true** <br>|

---

This semi-annual shareholder report contains information about Fidelity® VIP Investment Grade Central Fund for the period January 1, 2025 to June 30, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| VIP Investment Grade Central Fund  | $0 A | 0.00%B |

---

A Amount represents less than $.50

B Amount represents less than 0.005%

**Key Fund Statistics**

(as of June 30, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $3119027408<br>|
| Number of Holdings | 1907<br>|
| Portfolio Turnover | 119%<br>|

---

**What did the Fund invest in?** (as of June 30, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 63.5 |
| AAA | 7.2 |
| AA | 0.4 |
| A | 9.1 |
| BBB | 14.4 |
| BB | 1.7 |
| B | 0.9 |
| Not Rated | 2.3 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.5 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1619_20250630_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 63.5 |
| &nbsp;&nbsp;AAA - 7.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 9.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 14.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;B - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 2.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 0.5 |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 45.4 |
| Corporate Bonds | 24.1 |
| U.S. Government Agency - Mortgage Securities | 18.1 |
| Asset-Backed Securities | 8.0 |
| CMOs and Other Mortgage Related Securities | 3.8 |
| Other Investments | 0.1 |
| Foreign Government and Government Agency Obligations | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.5 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img1619_20250630_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 45.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 24.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 18.1 |
| Asset-Backed Securities - 8.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 3.8 |
| Other Investments - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) - 0.5 |

---

---

| | |
|:---|:---|
| United States | 90.4 |
| Grand Cayman (UK Overseas Ter) | 5.4 |
| Mexico | 0.8 |
| United Kingdom | 0.7 |
| Ireland | 0.5 |
| Bailiwick Of Jersey | 0.5 |
| Netherlands | 0.4 |
| Switzerland | 0.3 |
| France | 0.3 |
| Others | 0.7 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1619_20250630_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 90.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Grand Cayman (UK Overseas Ter) - 5.4&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Mexico - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Bailiwick Of Jersey - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Switzerland - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Others - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS** **(% of Fund's net assets)**<br>|  |
| US Treasury Notes | 33.8<br>|
| US Treasury Bonds | 11.6<br>|
| Fannie Mae Mortgage pass-thru certificates | 5.8<br>|
| Ginnie Mae II Pool | 4.8<br>|
| Freddie Mac Gold Pool | 4.2<br>|
| Uniform Mortgage Backed Securities | 2.2<br>|
| Morgan Stanley | 1.4<br>|
| JPMorgan Chase & Co | 1.4<br>|
| Bank of America Corp | 1.2<br>|
| Wells Fargo & Co | 0.9<br>|
|  | 67.3 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img1619_20250630_1.jpg)<br>| ![](img110650_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9916116.101 1619-TSRS-0825 <br>|

---

Item 2.

<u>Code of Ethics</u>

Not applicable.

Item 3.

<u>Audit Committee Financial Expert</u>

Not applicable.

Item 4.

<u>Principal Accountant Fees and Services</u>

Not applicable.

Item 5.

<u>Audit Committee of Listed Registrants</u>

Not applicable.

Item 6.

<u>Investments</u>

(a) Not applicable.

(b) Not applicable

Item 7.

<u>Financial Statements and Financial Highlights for Open-End Management Investment Companies</u>

**Fidelity® VIP Investment Grade Central Fund**

**Semi-Annual Report**

**June 30, 2025**

![](img110946_1.jpg)

![](img110946_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_VIGC-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® VIP Investment Grade Central Fund](#Sub_Sec_Fund_1619_VIGC-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements1619_VIGC-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_VIGC-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_VIGC-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_VIGC-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_VIGC-SANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

**Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)**

**Fidelity® VIP Investment Grade Central Fund**

**Schedule of Investments June 30, 2025 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 8.0%** | &nbsp;&nbsp;**Asset-Backed Securities - 8.0%** | &nbsp;&nbsp;**Asset-Backed Securities - 8.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAILIWICK OF JERSEY - 0.5%  |  |  |
| Aimco Clo 17 Ltd / Aimco Clo 17 LLC Series 2024-17A Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.6224% 7/20/2037 (b)(c)(d) | 2147000 | 2151294 |
| Aimco Clo 19 Ltd / Aimco Clo 19 LLC Series 2024-19A Class A, CME Term SOFR 3 month Index + 1.35%, 5.6195% 10/20/2037 (b)(c)(d) | 758000 | 760491 |
| Aimco Clo 22 Ltd / Aimco Clo 22 LLC Series 2024-22A Class A, CME Term SOFR 3 month Index + 1.5%, 5.7695% 4/19/2037 (b)(c)(d) | 4137000 | 4148770 |
| Blueberry Park Clo Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.35%, 5.6195% 10/20/2037 (b)(c)(d) | 2445000 | 2450377 |
| Flatiron Clo 26 Ltd / Flatiron Clo 26 LLC Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.33%, 5.5861% 1/15/2038 (b)(c)(d) | 2057000 | 2064771 |
| Hamlin Pk Clo Ltd / Hamlin Pk Clo LLC Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.34%, 5.6095% 10/20/2037 (b)(c)(d) | 2092000 | 2104581 |
| Invesco US CLO Ltd Series 2024-3A Class A, CME Term SOFR 3 month Index + 1.51%, 5.7795% 7/20/2037 (b)(c)(d) | 1856000 | 1862177 |
| TOTAL BAILIWICK OF JERSEY |  | 15542461 |
| BERMUDA - 0.1%  |  |  |
| SYMP Series 2022-32A Class A1, CME Term SOFR 3 month Index + 1.32%, 5.5993% 4/23/2035 (b)(c)(d) | 2380000 | 2380285 |
| GRAND CAYMAN (UK OVERSEAS TER) - 5.4%  |  |  |
| Aimco CLO 11 Ltd Series 2024-11A Class A1R2, CME Term SOFR 3 month Index + 1.34%, 5.6198% 7/17/2037 (b)(c)(d) | 2190000 | 2196023 |
| Aimco Clo 14 Ltd / Aimco Clo 14 LLC Series 2021-14A Class A, CME Term SOFR 3 month Index + 1.2516%, 5.5211% 4/20/2034 (b)(c)(d) | 3132569 | 3133246 |
| AIMCO CLO Series 2024-BA Class ARR, CME Term SOFR 3 month Index + 1.5%, 5.7605% 4/16/2037 (b)(c)(d) | 2577000 | 2584311 |
| Allegro Clo Ltd Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.4016%, 5.6711% 7/20/2034 (b)(c)(d) | 1532085 | 1534582 |
| Allegro Clo Xii Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.44%, 5.7095% 7/21/2037 (b)(c)(d) | 3308000 | 3317593 |
| Ares LIV CLO Ltd Series 2024-54A Class AR, CME Term SOFR 3 month Index + 1.27%, 5.5261% 10/15/2032 (b)(c)(d) | 2116187 | 2116187 |
| Ares LIV CLO Ltd Series 2025-54A Class AR2, CME Term SOFR 3 month Index + 1.31%, 0% 7/15/2038 (b)(c)(d) | 2687000 | 2687001 |
| Ares Lix Clo Ltd Series 2021-59A Class A, CME Term SOFR 3 month Index + 1.2916%, 5.5734% 4/25/2034 (b)(c)(d) | 1039487 | 1040367 |
| Ares Lv Clo Ltd Series 2024-55A Class A1R2, CME Term SOFR 3 month Index + 1.37%, 5.6261% 10/15/2037 (b)(c)(d) | 1386000 | 1388869 |
| Ares Lviii Clo Ltd / Ares Lviii Clo LLC Series 2025-58A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 5.5279% 4/15/2038 (b)(c)(d) | 2126000 | 2137015 |
| Ares XLI Clo Ltd Series 2021-41A Class AR2, CME Term SOFR 3 month Index + 1.3316%, 5.5877% 4/15/2034 (b)(c)(d) | 2173138 | 2174811 |
| Babson CLO Ltd/Cayman Islands Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.26%, 5.5161% 1/15/2038 (b)(c)(d) | 1292000 | 1293355 |
| Barings Clo Ltd Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.75%, 6.0195% 1/20/2037 (b)(c)(d) | 3122000 | 3133252 |
| Barings Clo Ltd Series 2024-4A Class AR, CME Term SOFR 3 month Index + 1.37%, 5.6395% 10/20/2037 (b)(c)(d) | 2095000 | 2100298 |
| Barings Clo Ltd Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.2816%, 5.5634% 4/25/2034 (b)(c)(d) | 2282638 | 2285692 |
| BCRED BSL Static Clo Ltd / LLC Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.5413% 7/24/2035 (b)(c)(d) | 2122000 | 2117767 |
| Beechwood Park Clo Ltd Series 2022-1A Class A1R, CME Term SOFR 3 month Index + 1.3%, 5.5798% 1/17/2035 (b)(c)(d) | 2810000 | 2815131 |
| BETHP Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.6477% 1/15/2035 (b)(c)(d) | 1601217 | 1603500 |
| Carlyle US CLO Ltd Series 2024-10A Class A1R, CME Term SOFR 3 month Index + 1.31%, 5.5795% 1/20/2038 (b)(c)(d) | 1648000 | 1650942 |
| Carlyle US CLO Ltd Series 2024-11A Class A1R, CME Term SOFR 3 month Index + 1.41%, 5.6918% 7/25/2037 (b)(c)(d) | 2843000 | 2850369 |
| Cedar Fdg Xii Clo Ltd / Cedar Fdg Xii Clo LLC Series 2025-12A Class ARR, CME Term SOFR 3 month Index + 1.2%, 5.4566% 1/25/2038 (b)(c)(d) | 1960000 | 1954710 |
| Cedar Fdg Xvii Clo Ltd Series 2023-17A Class A, CME Term SOFR 3 month Index + 1.85%, 6.1195% 7/20/2036 (b)(c)(d) | 1848000 | 1850931 |
| Cedar Funding Ltd Series 2022-15A Class A, CME Term SOFR 3 month Index + 1.32%, 5.5924% 4/20/2035 (b)(c)(d) | 2429000 | 2428988 |
| Cedar Funding Ltd Series 2024-10A Class AR2, CME Term SOFR 3 month Index + 1.36%, 5.6295% 10/20/2037 (b)(c)(d) | 1562000 | 1564535 |
| CEDF Series 2021-6A Class ARR, CME Term SOFR 3 month Index + 1.3116%, 5.5811% 4/20/2034 (b)(c)(d) | 1887884 | 1892415 |
| Clover Clo Ltd Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1%, 5.3091% 4/18/2035 (b)(c)(d) | 2425000 | 2411912 |
| Columbia Cent Clo 29 Ltd / Columbia Cent Clo 29 Corp Series 2021-29A Class AR, CME Term SOFR 3 month Index + 1.4316%, 5.7011% 10/20/2034 (b)(c)(d) | 1944015 | 1942137 |
| Dryden CLO Ltd Series 2022-98A Class A, CME Term SOFR 3 month Index + 1.3%, 5.5695% 4/20/2035 (b)(c)(d) | 2990000 | 2990356 |
| Dryden CLO Ltd Series 2024-83A Class AR, CME Term SOFR 3 month Index + 1.53%, 5.7995% 4/18/2037 (b)(c)(d) | 2356000 | 2363815 |
| Dryden CLO Ltd Series 2024-85A Class A1R2, CME Term SOFR 3 month Index + 1.38%, 5.6361% 7/15/2037 (b)(c)(d) | 2806000 | 2811230 |
| Dryden Senior Loan Fund Series 2021-90A Class A1A, CME Term SOFR 3 month Index + 1.3916%, 5.7136% 2/20/2035 (b)(c)(d) | 2075083 | 2076044 |
| Eaton Vance CLO Ltd Series 2021-1A Class A13R, CME Term SOFR 3 month Index + 1.5116%, 5.7677% 1/15/2034 (b)(c)(d) | 444749 | 445067 |
| Eaton Vance CLO Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.39%, 5.6461% 10/15/2037 (b)(c)(d) | 2219000 | 2225708 |
| Eaton Vance CLO Ltd Series 2024-2A Class AR2, CME Term SOFR 3 month Index + 1.38%, 5.6361% 10/15/2037 (b)(c)(d) | 2283000 | 2289561 |
| Flat Series 2025-30A Class A1, CME Term SOFR 3 month Index + 1.16%, 5.4434% 4/15/2038 (b)(c)(d) | 2121000 | 2116018 |
| Flatiron Clo 20 Ltd / Flatiron Clo 20 LLC Series 2024-1A Class AR, CME Term SOFR 3 month Index + 1.38%, 5.702% 5/20/2036 (b)(c)(d) | 2662000 | 2665721 |
| Flatiron Clo 32 Ltd Series 2025-32A Class A1, CME Term SOFR 3 month Index + 1.29%, 1.29% 10/22/2038 (b)(c)(d)(e) | 2133000 | 2133000 |
| Flatiron Clo Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.6295% 10/19/2037 (b)(c)(d) | 2396000 | 2408910 |
| Horizon Aircraft Finance Ltd Series 2019-1 Class A, 3.721% 7/15/2039 (b) | 971132 | 938083 |
| Invesco Clo Ltd Series 2021-3A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.664% 10/22/2034 (b)(c)(d) | 1367988 | 1368757 |
| Invesco US CLO Series 2024-1RA Class AR, CME Term SOFR 3 month Index + 1.55%, 5.8061% 4/15/2037 (b)(c)(d) | 2115000 | 2121442 |
| Lakeside Pk Clo Ltd / Lakeside Pk Clo LLC Series 2025-1A Class A, CME Term SOFR 3 month Index + 1.15%, 5.4061% 4/15/2038 (b)(c)(d) | 1534000 | 1529622 |
| Madison Park Funding 2015 Series 2024-19A Class AR3, CME Term SOFR 3 month Index + 1.6%, 5.8724% 1/22/2037 (b)(c)(d) | 1000000 | 1002921 |
| Madison Pk Fdg L Ltd / Madison Pk Fdg L LLC Series 2021-50A Class A, CME Term SOFR 3 month Index + 1.4016%, 5.6711% 4/19/2034 (b)(c)(d) | 2186940 | 2189203 |
| Madison Pk Fdg Lii Ltd / Madison Pk Fdg Lii LLC Series 2021-52A Class A, CME Term SOFR 3 month Index + 1.3616%, 5.634% 1/22/2035 (b)(c)(d) | 1888747 | 1889808 |
| Madison Pk Fdg Lxvii Ltd / Madison Pk Fdg Lxvii LLC Series 2024-67A Class A1, CME Term SOFR 3 month Index + 1.51%, 5.7918% 4/25/2037 (b)(c)(d) | 2724000 | 2731812 |
| Madison Pk Fdg Xlv Ltd / Madison Pk Fdg Xlv LLC Series 2024-45A Class ARR, CME Term SOFR 3 month Index + 1.08%, 5.3361% 7/15/2034 (b)(c)(d) | 1390072 | 1391090 |
| MAGNE AR Series 2021-27A Class AR, CME Term SOFR 3 month Index + 1.4016%, 5.6711% 10/20/2034 (b)(c)(d) | 461006 | 461261 |
| Magnetite CLO LTD Series 2025-36A Class AR, CME Term SOFR 3 month Index + 1.32%, 5.6363% 7/25/2038 (b)(c)(d) | 2169000 | 2176049 |
| Magnetite CLO Ltd Series 2024-30A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.6318% 10/25/2037 (b)(c)(d) | 2357478 | 2363494 |
| Magnetite Clo Ltd Series 2025-45A Class A1, CME Term SOFR 3 month Index + 1.15%, 5.435% 4/15/2038 (b)(c)(d) | 1483000 | 1487059 |
| Magnetite Xli Ltd Series 2024-41A Class A, CME Term SOFR 3 month Index + 1.29%, 5.603% 1/25/2038 (b)(c)(d) | 1342000 | 1345001 |
| Magnetite XXI Ltd Series 2021-21A Class AR, CME Term SOFR 3 month Index + 1.2816%, 5.5511% 4/20/2034 (b)(c)(d) | 1823166 | 1823952 |
| Magnetite Xxiii Ltd Series 2021-23A Class AR, CME Term SOFR 3 month Index + 1.3916%, 5.6734% 1/25/2035 (b)(c)(d) | 5340000 | 5347311 |
| Magnetite Xxix Ltd / Magnetite Xxix LLC Series 2024-29A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.6061% 7/15/2037 (b)(c)(d) | 2086000 | 2091469 |
| Magnetite Xxvi Ltd / Magnetite Xxvi LLC Series 2025-26A Class AR2, CME Term SOFR 3 month Index + 1.15%, 5.4163% 1/25/2038 (b)(c)(d) | 1997000 | 2003175 |
| Magnetite Xxviii Ltd Series 2025-28A Class A1RR, CME Term SOFR 3 month Index + 1.24%, 5.4961% 1/15/2038 (b)(c)(d) | 2717000 | 2725396 |
| Morgan Stanley Eaton Vance CLO Ltd / LLC Series 2025-21A Class A1, CME Term SOFR 3 month Index + 1.17%, 5.2849% 4/15/2038 (b)(c)(d) | 2531000 | 2535543 |
| Neuberger Berman Loan Advisers Clo 25 Ltd Series 2024-25A Class AR2, CME Term SOFR 3 month Index + 1.4%, 5.6695% 7/18/2038 (b)(c)(d) | 2147000 | 2152939 |
| Oak Hill Credit Partners Series 2024-13A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.6195% 7/20/2037 (b)(c)(d) | 3605000 | 3612668 |
| Oha Cr Fdg 4 Ltd / Oha Cr Fdg 4 LLC Series 2024-4A Class AR2, CME Term SOFR 3 month Index + 1.29%, 5.5624% 1/22/2038 (b)(c)(d) | 2452000 | 2456879 |
| Oha Credit Funding 14-R Ltd Series 2025-14RA Class A, CME Term SOFR 3 month Index + 1.23%, 5.6252% 4/20/2038 (b)(c)(d) | 1397000 | 1398204 |
| OHA Credit Funding 6 Ltd Series 2024-6A Class AR2, CME Term SOFR 3 month Index + 1.33%, 5.5995% 10/20/2037 (b)(c)(d) | 1921000 | 1927314 |
| OHA Credit Partners Ltd Series 2024-18A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.7695% 4/20/2037 (b)(c)(d) | 3069000 | 3078388 |
| OHA Credit Partners Ltd Series 2024-18A Class A2, CME Term SOFR 3 month Index + 1.65%, 5.9195% 4/20/2037 (b)(c)(d) | 250000 | 250506 |
| Oha Credit Partners VII Ltd Series 2025-7A Class AR4, CME Term SOFR 3 month Index + 1.14%, 5.462% 2/20/2038 (b)(c)(d) | 1936000 | 1931830 |
| OHA Credit Partners XVII Ltd Series 2024-17A Class A, CME Term SOFR 3 month Index + 1.32%, 5.7215% 1/18/2038 (b)(c)(d) | 834000 | 835775 |
| Palmer Square Ln Fdg 2025-2 Ltd / Palmer Square Ln Fdg 2025-2 LLC Series 2025-2A Class A1, CME Term SOFR 3 month Index + 0.94%, 0% 7/15/2033 (b)(c)(d)(e) | 2158000 | 2158000 |
| Palmer Square Loan Funding Ltd Series 2024-2A Class A1N, CME Term SOFR 3 month Index + 1%, 5.2561% 1/15/2033 (b)(c)(d) | 1178861 | 1179043 |
| Palmer Square Loan Funding Ltd Series 2025-1A Class A1, CME Term SOFR 3 month Index + 0.8%, 5.1206% 2/15/2033 (b)(c)(d) | 2428000 | 2420043 |
| Peace Park Clo Ltd Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.6611% 10/20/2034 (b)(c)(d) | 760982 | 761426 |
| Project Silver Series 2019-1 Class A, 3.967% 7/15/2044 (b) | 1014508 | 979111 |
| Rockland Park Clo Ltd Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3816%, 5.6511% 4/20/2034 (b)(c)(d) | 2604698 | 2608605 |
| Rr 34 Ltd Series 2024-34RA Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.6061% 10/15/2039 (b)(c)(d) | 1065000 | 1069445 |
| Rr 7 Ltd Series 2022-7A Class A1AB, CME Term SOFR 3 month Index + 1.34%, 5.5961% 1/15/2037 (b)(c)(d) | 2626000 | 2630173 |
| Sixth Street CLO XX Ltd Series 2025-20A Class A1R, CME Term SOFR 3 month Index + 1.32%, 1.32% 7/17/2038 (b)(c)(d) | 1771000 | 1771000 |
| Symphony Clo 43 Ltd Series 2024-43A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.7761% 4/15/2037 (b)(c)(d) | 1886000 | 1890760 |
| Symphony Clo Xxvi Ltd / Symphony Clo Xxvi LLC Series 2021-26A Class AR, CME Term SOFR 3 month Index + 1.3416%, 5.6111% 4/20/2033 (b)(c)(d) | 1797217 | 1797731 |
| Thunderbolt Aircraft Lease Series 2018-A Class A, 4.147% 9/15/2038 (b)(d) | 687777 | 684411 |
| Thunderbolt III Aircraft Lease Ltd Series 2019-1 Class A, 3.671% 11/15/2039 (b) | 1065187 | 1030961 |
| Voya CLO Ltd Series 2023-1A Class A1, CME Term SOFR 3 month Index + 1.8%, 6.0695% 1/20/2037 (b)(c)(d) | 2387000 | 2395753 |
| Voya Clo Ltd Series 2024-1A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.7761% 4/15/2037 (b)(c)(d) | 1190000 | 1195355 |
| Voya CLO Ltd/Voya CLO LLC Series 2025-2A Class A1RR, CME Term SOFR 3 month Index + 1.31%, 5.5904% 1/20/2038 (b)(c)(d) | 648000 | 648938 |
| TOTAL GRAND CAYMAN (UK OVERSEAS TER) |  | 165119075 |
| IRELAND - 0.0%  |  |  |
| Volofin Finance Designated Activity Co Series 2024-1A Class A, 5.935% 6/15/2037 (b) | 913758 | 922651 |
| MULTI-NATIONAL - 0.1%  |  |  |
| Allegro Clo Xv Ltd / Allegro Clo Vx LLC Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.18%, 5.4911% 4/20/2038 (b)(c)(d) | 1736000 | 1733967 |
| Ares Ln Fdg V Ltd / Ares Ln Fdg V LLC Series 2024-ALF5A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.7818% 7/27/2037 (b)(c)(d) | 2418000 | 2425037 |
| TOTAL MULTI-NATIONAL |  | 4159004 |
| UNITED STATES - 1.9%  |  |  |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A1, 6.261% 5/16/2049 (b) | 1579628 | 1621135 |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A2, 6.261% 5/16/2049 (b) | 1442556 | 1480461 |
| Aaset 2025-1 Ltd / Aaset 2025-1 LLC Series 2025-1A Class A, 5.943% 2/16/2050 (b) | 1295474 | 1318850 |
| AASET Trust Series 2019-2 Class A, 3.376% 10/16/2039 (b) | 380464 | 378034 |
| AASET Trust Series 2019-2 Class B, 4.458% 10/16/2039 (b) | 75249 | 73836 |
| AASET Trust Series 2021-1A Class A, 2.95% 11/16/2041 (b) | 954247 | 906617 |
| AASET Trust Series 2021-2A Class A, 2.798% 1/15/2047 (b) | 2439236 | 2270115 |
| Altde Trust Series 2025-1A Class A, 5.9% 8/15/2050 (b) | 1759931 | 1794217 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/2040 (b) | 189073 | 183618 |
| Blackbird Cap II Aircraft Lease Ltd / Blackbird Cap II Aircraft Lease Us L Series 2021-1A Class A, 2.443% 7/15/2046 (b) | 1871153 | 1754322 |
| Blackbird Capital Aircraft Lease Securitization Ltd Series 2016-1A Class A, 4.213% 12/16/2041 (b)(f) | 657965 | 656838 |
| Castlelake Aircraft Securitization Series 2018-1 Class A, 4.125% 6/15/2043 (b) | 239114 | 232441 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class A, 3.967% 4/15/2039 (b) | 751953 | 712487 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class B, 5.095% 4/15/2039 (b) | 666261 | 553012 |
| Castlelake Aircraft Structured Trust Series 2021-1A Class A, 3.474% 1/15/2046 (b) | 83721 | 82480 |
| DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/2047 (b) | 1714948 | 1696408 |
| DB Master Finance LLC Series 2021-1A Class A23, 2.791% 11/20/2051 (b) | 4605945 | 4015853 |
| DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/2051 (b) | 849200 | 817472 |
| Eaton Vance CLO Ltd Series 2024-1A Class AR2, CME Term SOFR 3 month Index + 1.51%, 5.7661% 7/15/2037 (b)(c)(d) | 2272000 | 2278271 |
| Gilead Aviation LLC Series 2025-1A Class A, 5.789% 3/15/2050 (b) | 2975159 | 3027981 |
| GMF Floorplan Owner Revolving Trust Series 2024-4A Class A1, 4.73% 11/15/2029 (b) | 1690000 | 1709239 |
| Green Lakes Park Clo LLC Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1.18%, 5.4618% 1/25/2038 (b)(c)(d) | 2081000 | 2081006 |
| Horizon Aircraft Finance I Limited Series 2018-1 Class A, 4.458% 12/15/2038 (b) | 670893 | 640685 |
| Jersey Mike's Funding Series 2019-1A Class A2, 4.433% 2/15/2050 (b) | 3263688 | 3234369 |
| Jersey Mike's Funding Series 2024-1A Class A2, 5.636% 2/15/2055 (b) | 1795500 | 1823428 |
| Pk Alift Loan Funding 3 LP Series 2024-1 Class A1, 5.842% 9/15/2039 (b) | 428408 | 433634 |
| Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/2049 (b) | 1404270 | 1336747 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2I, 3.251% 12/5/2051 (b) | 1522845 | 1482805 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2II, 4.008% 12/5/2051 (b) | 1360305 | 1255295 |
| SAPPHIRE AVIATION FINANCE Series 2020-1A Class A, 3.228% 3/15/2040 (b) | 955167 | 912242 |
| SBA Tower Trust Series 2020, 1.884% 7/15/2050 (b) | 733000 | 721011 |
| SBA Tower Trust Series 2020, 2.328% 7/15/2052 (b) | 560000 | 529362 |
| SLAM Ltd Series 2025-1A Class A, 5.807% 5/15/2050 (b) | 1465000 | 1489493 |
| Subway Funding LLC Series 2024-1A Class A23, 6.505% 7/30/2054 (b) | 1943235 | 1991729 |
| Subway Funding LLC Series 2024-1A Class A2I, 6.028% 7/30/2054 (b) | 3727270 | 3789657 |
| Subway Funding LLC Series 2024-1A Class A2II, 6.268% 7/30/2054 (b) | 2215865 | 2269876 |
| Subway Funding LLC Series 2024-3A Class A23, 5.914% 7/30/2054 (b) | 2649685 | 2621308 |
| Subway Funding LLC Series 2024-3A Class A2I, 5.246% 7/30/2054 (b) | 2763115 | 2747324 |
| Subway Funding LLC Series 2024-3A Class A2II, 5.566% 7/30/2054 (b) | 1307430 | 1302302 |
| Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 month Index + 0.9745%, 5.2937% 9/25/2034 (c)(d) | 2041 | 2111 |
| Westf 2025-A Series 2025-A Class A, 5.582% 6/15/2050 (b) | 1785000 | 1804824 |
| TOTAL UNITED STATES |  | 60032895 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $248,101,876) |  | <br> **248156371** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.1%** | &nbsp;&nbsp;**Bank Notes - 0.1%** | &nbsp;&nbsp;**Bank Notes - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Capital One NA USD SOFR Spread-Adj ICE Swap Rate 5Y + 1.73%, 5.974% 8/9/2028 (c)(d) | 847000 | 867802 |
| Regions Bank/Birmingham AL 6.45% 6/26/2037  | 2368000 | 2448051 |
| <br> **TOTAL BANK NOTES**<br> (Cost $3,278,549) |  | <br> **3315853** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.0%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.0%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Fannie Mae Mortgage pass-thru certificates Series 1999-57 Class PH, 6.5% 12/25/2029  | 9253 | 9488 |
| Sequoia Mortgage Trust Series 2004-6 Class A3B, CME Term SOFR 6 month Index + 1.3083%, 5.5468% 7/20/2034 (c)(d) | 343 | 319 |
| TOTAL UNITED STATES |  | 9807 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $9,275) |  | <br> **9807** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 3.8%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 3.8%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 3.8%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 3.8%  |  |  |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (b) | 920849 | 879138 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class BNM, 3.465% 11/5/2032 (b) | 265000 | 247696 |
| BAMLL Commercial Mortgage Securities Trust Series 2022-DKLX Class A, CME Term SOFR 1 month Index + 1.15%, 5.462% 1/15/2039 (b)(c)(d) | 1283272 | 1279262 |
| BAMLL Commercial Mortgage Securities Trust Series 2022-DKLX Class B, CME Term SOFR 1 month Index + 1.55%, 5.862% 1/15/2039 (b)(c)(d) | 242144 | 240347 |
| BAMLL Commercial Mortgage Securities Trust Series 2022-DKLX Class C, CME Term SOFR 1 month Index + 2.15%, 6.462% 1/15/2039 (b)(c)(d) | 173219 | 171632 |
| BANK Series 2018-BN10 Class A5, 3.688% 2/15/2061  | 118089 | 115864 |
| BANK Series 2019-BN21 Class A5, 2.851% 10/17/2052  | 201824 | 186085 |
| BBCMS Mortgage Trust Series 2023-C21 Class A3, 6.5058% 9/15/2056 (d) | 1307000 | 1405141 |
| Benchmark Mortgage Trust Series 2018-B4 Class A5, 4.121% 7/15/2051  | 420518 | 413905 |
| Benchmark Mortgage Trust Series 2018-B8 Class A5, 4.2317% 1/15/2052  | 2882896 | 2822354 |
| Benchmark Mortgage Trust Series 2019-B10 Class A4, 3.717% 3/15/2062  | 389846 | 376977 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.6539% 3/15/2041 (b)(c)(d) | 1158518 | 1159966 |
| BMP Series 2024-MF23 Class A, CME Term SOFR 1 month Index + 1.3719%, 5.6837% 6/15/2041 (b)(c)(d) | 1665000 | 1667081 |
| BMP Series 2024-MF23 Class B, CME Term SOFR 1 month Index + 1.6416%, 5.9533% 6/15/2041 (b)(c)(d) | 822000 | 823028 |
| BMP Series 2024-MF23 Class C, CME Term SOFR 1 month Index + 1.8413%, 6.153% 6/15/2041 (b)(c)(d) | 581000 | 581726 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class A, 5.218% 11/5/2039 (b)(d) | 4579000 | 4637113 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.7034% 3/15/2041 (b)(c)(d) | 5428689 | 5433779 |
| BX Commercial Mortgage Trust 21-SOAR Series 2022-IND Class A, CME Term SOFR 1 month Index + 1.491%, 5.8028% 4/15/2037 (b)(c)(d) | 1583738 | 1584727 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 5.9531% 5/15/2041 (b)(d) | 2925317 | 2928974 |
| BX Commercial Mortgage Trust Series 2019-IMC Class A, CME Term SOFR 1 month Index + 1.0463%, 5.3583% 4/15/2034 (b)(c)(d) | 780087 | 774236 |
| BX Commercial Mortgage Trust Series 2019-IMC Class B, CME Term SOFR 1 month Index + 1.3463%, 5.6583% 4/15/2034 (b)(c)(d) | 1007281 | 994061 |
| BX Commercial Mortgage Trust Series 2019-IMC Class C, CME Term SOFR 1 month Index + 1.6463%, 5.9583% 4/15/2034 (b)(c)(d) | 665897 | 655076 |
| BX Commercial Mortgage Trust Series 2019-IMC Class D, CME Term SOFR 1 month Index + 1.9463%, 6.2583% 4/15/2034 (b)(c)(d) | 699023 | 685916 |
| BX Commercial Mortgage Trust Series 2020-VIV2 Class C, 3.5424% 3/9/2044 (b)(d) | 5519000 | 5077307 |
| BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 5.1156% 10/15/2036 (b)(c)(d) | 2648253 | 2642461 |
| BX Commercial Mortgage Trust Series 2021-PAC Class B, CME Term SOFR 1 month Index + 1.0133%, 5.3253% 10/15/2036 (b)(c)(d) | 396287 | 394553 |
| BX Commercial Mortgage Trust Series 2021-PAC Class C, CME Term SOFR 1 month Index + 1.2131%, 5.5251% 10/15/2036 (b)(c)(d) | 530325 | 527342 |
| BX Commercial Mortgage Trust Series 2021-PAC Class D, CME Term SOFR 1 month Index + 1.4128%, 5.7248% 10/15/2036 (b)(c)(d) | 514682 | 511465 |
| BX Commercial Mortgage Trust Series 2021-PAC Class E, CME Term SOFR 1 month Index + 2.062%, 6.374% 10/15/2036 (b)(c)(d) | 1789733 | 1780784 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class A, CME Term SOFR 1 month Index + 1.0129%, 5.3247% 2/15/2039 (b)(c)(d) | 1903830 | 1902641 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class B, CME Term SOFR 1 month Index + 1.3123%, 5.6241% 2/15/2039 (b)(c)(d) | 758100 | 757152 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class C, CME Term SOFR 1 month Index + 1.5617%, 5.8735% 2/15/2039 (b)(c)(d) | 758100 | 756212 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class D, CME Term SOFR 1 month Index + 1.9608%, 6.2726% 2/15/2039 (b)(c)(d) | 758100 | 756205 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class A, CME Term SOFR 1 month Index + 1.7614%, 6.0732% 12/9/2040 (b)(c)(d) | 1346813 | 1350590 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class B, CME Term SOFR 1 month Index + 2.1908%, 6.5026% 12/9/2040 (b)(c)(d) | 297860 | 298787 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class C, CME Term SOFR 1 month Index + 2.6402%, 6.9519% 12/9/2040 (b)(c)(d) | 161102 | 161577 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 5.6046% 12/15/2039 (b)(c)(d) | 755797 | 756506 |
| BX Commercial Mortgage Trust Series 2025-SPOT Class A, CME Term SOFR 1 month Index + 1.4434%, 5.7551% 4/15/2040 (b)(c)(d) | 4645000 | 4643548 |
| Bx Tr 2025-Tail Series 2025-TAIL Class A, CME Term SOFR 1 month Index + 1.4%, 5.7118% 6/15/2035 (b)(c)(d) | 816000 | 817272 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.7536% 4/15/2041 (b)(c)(d) | 3742188 | 3750281 |
| BX Trust 2024-CNY Series 2024-CNYN Class B, CME Term SOFR 1 month Index + 1.6915%, 6.0033% 4/15/2041 (b)(c)(d) | 596702 | 597635 |
| BX Trust 2024-CNY Series 2024-CNYN Class C, CME Term SOFR 1 month Index + 1.9412%, 6.2529% 4/15/2041 (b)(c)(d) | 495154 | 495928 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 5.4556% 3/15/2030 (b)(c)(d) | 6080000 | 6042000 |
| BX Trust 2025-ROIC Series 2025-ROIC Class B, CME Term SOFR 1 month Index + 1.3935%, 5.7052% 3/15/2030 (b)(c)(d) | 890000 | 883325 |
| BX Trust 2025-ROIC Series 2025-ROIC Class C, CME Term SOFR 1 month Index + 1.69%, 5.855% 3/15/2030 (b)(c)(d) | 1254000 | 1243028 |
| BX Trust Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 5.2265% 2/15/2036 (b)(c)(d) | 278000 | 277826 |
| BX Trust Series 2021-SOAR Class A, CME Term SOFR 1 month Index + 0.7845%, 5.0965% 6/15/2038 (b)(c)(d) | 213047 | 212981 |
| BX Trust Series 2022-IND Class B, CME Term SOFR 1 month Index + 1.94%, 6.2518% 4/15/2037 (b)(c)(d) | 970200 | 971110 |
| BX Trust Series 2022-IND Class C, CME Term SOFR 1 month Index + 2.29%, 6.6018% 4/15/2037 (b)(c)(d) | 219100 | 219374 |
| BX Trust Series 2022-IND Class D, CME Term SOFR 1 month Index + 2.839%, 7.1508% 4/15/2037 (b)(c)(d) | 183400 | 183743 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.7538% 2/15/2039 (b)(c)(d) | 2715909 | 2719295 |
| BX Trust Series 2024-XL4 Class B, CME Term SOFR 1 month Index + 1.7915%, 6.1033% 2/15/2039 (b)(c)(d) | 350379 | 351145 |
| BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 6.003% 3/15/2041 (b)(c)(d) | 927835 | 928995 |
| BX Trust Series 2024-XL5 Class C, CME Term SOFR 1 month Index + 1.9409%, 6.2526% 3/15/2041 (b)(c)(d) | 1231674 | 1233213 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 5.4618% 2/15/2035 (b)(c)(d) | 2038000 | 2031122 |
| CF Hippolyta Issuer LLC Series 2021-1A Class A1, 1.53% 3/15/2061 (b) | 2918461 | 2807827 |
| Computershare Corporate Trust Series 2018-C48 Class A5, 4.302% 1/15/2052  | 850545 | 844023 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class A, 6.038% 1/15/2041 (b)(d) | 563000 | 576686 |
| ELP Commercial Mortgage Trust Series 2021-ELP Class A, CME Term SOFR 1 month Index + 0.8155%, 5.1275% 11/15/2038 (b)(c)(d) | 3654041 | 3649473 |
| ELP Commercial Mortgage Trust Series 2021-ELP Class B, CME Term SOFR 1 month Index + 1.2347%, 5.5467% 11/15/2038 (b)(c)(d) | 1013820 | 1012553 |
| Extended Stay America Trust Series 2021-ESH Class A, CME Term SOFR 1 month Index + 1.1945%, 5.5065% 7/15/2038 (b)(c)(d) | 1039566 | 1039891 |
| Extended Stay America Trust Series 2021-ESH Class B, CME Term SOFR 1 month Index + 1.4945%, 5.8065% 7/15/2038 (b)(c)(d) | 591832 | 592016 |
| Extended Stay America Trust Series 2021-ESH Class C, CME Term SOFR 1 month Index + 1.8145%, 6.1265% 7/15/2038 (b)(c)(d) | 2141746 | 2143085 |
| Extended Stay America Trust Series 2021-ESH Class D, CME Term SOFR 1 month Index + 2.3645%, 6.6765% 7/15/2038 (b)(c)(d) | 880029 | 881129 |
| GS Mortgage Securities Trust Series 2021-IP Class A, CME Term SOFR 1 month Index + 1.0645%, 5.3765% 10/15/2036 (b)(c)(d) | 1559690 | 1553877 |
| GS Mortgage Securities Trust Series 2021-IP Class B, CME Term SOFR 1 month Index + 1.2645%, 5.5765% 10/15/2036 (b)(c)(d) | 241085 | 239587 |
| GS Mortgage Securities Trust Series 2021-IP Class C, CME Term SOFR 1 month Index + 1.6645%, 5.9765% 10/15/2036 (b)(c)(d) | 2497757 | 2482240 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class CFX, 4.9498% 7/5/2033 (b) | 223602 | 166583 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class DFX, 5.3503% 7/5/2033 (b) | 386779 | 245605 |
| Life Financial Services Trust Series 2022-BMR2 Class A1, CME Term SOFR 1 month Index + 1.2952%, 5.607% 5/15/2039 (b)(c)(d) | 3430000 | 3322813 |
| Life Financial Services Trust Series 2022-BMR2 Class B, CME Term SOFR 1 month Index + 1.7939%, 6.1057% 5/15/2039 (b)(c)(d) | 2383000 | 2168530 |
| Life Financial Services Trust Series 2022-BMR2 Class C, CME Term SOFR 1 month Index + 2.0931%, 6.4049% 5/15/2039 (b)(c)(d) | 1335000 | 1201500 |
| Life Financial Services Trust Series 2022-BMR2 Class D, CME Term SOFR 1 month Index + 2.5419%, 6.8537% 5/15/2039 (b)(c)(d) | 1187000 | 1062505 |
| LIFE Mortgage Trust Series 2021-BMR Class C, CME Term SOFR 1 month Index + 1.2145%, 5.5265% 3/15/2038 (b)(c)(d) | 36263 | 36059 |
| LIFE Mortgage Trust Series 2021-BMR Class D, CME Term SOFR 1 month Index + 1.5145%, 5.8265% 3/15/2038 (b)(c)(d) | 330648 | 328169 |
| LIFE Mortgage Trust Series 2021-BMR Class E, CME Term SOFR 1 month Index + 1.8645%, 6.1765% 3/15/2038 (b)(c)(d) | 288995 | 286105 |
| Morgan Stanley Capital I Trust Series 2018-H4 Class A4, 4.31% 12/15/2051  | 1895246 | 1877187 |
| OPEN Trust Series 2023-AIR Class A, CME Term SOFR 1 month Index + 3.0891%, 7.4008% 11/15/2040 (b)(c)(d) | 429800 | 429934 |
| OPEN Trust Series 2023-AIR Class B, CME Term SOFR 1 month Index + 3.838%, 8.1667% 11/15/2040 (b)(c)(d) | 804800 | 805303 |
| Providence Place Group LP Series 2000-C1 Class A2, 7.75% 7/20/2028 (b) | 607128 | 618406 |
| SPGN Mortgage Trust Series 2022-TFLM Class B, CME Term SOFR 1 month Index + 2%, 6.3118% 2/15/2039 (b)(c)(d) | 642000 | 631982 |
| SPGN Mortgage Trust Series 2022-TFLM Class C, CME Term SOFR 1 month Index + 2.65%, 6.9618% 2/15/2039 (b)(c)(d) | 334000 | 327023 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 5.157% 11/15/2038 (b)(c)(d) | 2830547 | 2828779 |
| SREIT Trust Series 2021-MFP Class B, CME Term SOFR 1 month Index + 1.1943%, 5.506% 11/15/2038 (b)(c)(d) | 1734655 | 1733570 |
| SREIT Trust Series 2021-MFP Class C, CME Term SOFR 1 month Index + 1.4435%, 5.7552% 11/15/2038 (b)(c)(d) | 737143 | 736682 |
| SREIT Trust Series 2021-MFP Class D, CME Term SOFR 1 month Index + 1.6927%, 6.0044% 11/15/2038 (b)(c)(d) | 484482 | 484179 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 5.5547% 12/15/2039 (b)(c)(d) | 2518000 | 2517210 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class B, CME Term SOFR 1 month Index + 1.5924%, 5.9042% 12/15/2039 (b)(c)(d) | 613000 | 611466 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class C, CME Term SOFR 1 month Index + 1.9919%, 6.3036% 12/15/2039 (b)(c)(d) | 452000 | 450870 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class A, 2.13% 10/10/2042 (b) | 1766729 | 1500313 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class B, 2.453% 10/10/2042 (b) | 113488 | 91490 |
| Wells Fargo Commercial Mortgage Trust Series 2021-FCMT Class A, CME Term SOFR 1 month Index + 1.3145%, 5.6265% 5/15/2031 (b)(c)(d) | 1349000 | 1342372 |
| TOTAL UNITED STATES |  | 118966509 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $120,777,487) |  | <br> **118966509** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| SAUDI ARABIA - 0.0%  |  |  |
| Kingdom of Saudi Arabia 3.25% 10/22/2030 (b) | 966000 | 905287 |
| Kingdom of Saudi Arabia 4.5% 4/22/2060 (b) | 736000 | 570864 |
| TOTAL SAUDI ARABIA |  | 1476151 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $1,691,637) |  | <br> **1476151** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 24.1%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 24.1%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 24.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Commonwealth Bank of Australia 3.61% 9/12/2034 (b)(d) | 802000 | 759514 |
| Westpac Banking Corp 4.11% 7/24/2034 (d) | 1139000 | 1100689 |
| TOTAL AUSTRALIA |  | 1860203 |
| BELGIUM - 0.1%  |  |  |
| Consumer Staples - 0.1% |  |  |
| Beverages - 0.1% |  |  |
| Anheuser-Busch InBev Worldwide Inc 3.5% 6/1/2030  | 1135000 | 1094997 |
| Anheuser-Busch InBev Worldwide Inc 5.8% 1/23/2059  | 3472000 | 3555925 |
| TOTAL BELGIUM |  | 4650922 |
| CANADA - 0.1%  |  |  |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Canadian Natural Resources Ltd 5.85% 2/1/2035  | 766000 | 778912 |
| Cenovus Energy Inc 3.75% 2/15/2052  | 2600000 | 1765659 |
| Cenovus Energy Inc 5.25% 6/15/2037  | 1010000 | 951497 |
| Enbridge Inc 4.25% 12/1/2026  | 544000 | 542945 |
|  |  | 4039013 |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Emera US Finance LP 3.55% 6/15/2026  | 580000 | 573656 |
| TOTAL CANADA |  | 4612669 |
| FRANCE - 0.3%  |  |  |
| Financials - 0.3% |  |  |
| Banks - 0.3% |  |  |
| BNP Paribas SA 5.786% 1/13/2033 (b)(d) | 2966000 | 3085541 |
| Societe Generale SA 1.488% 12/14/2026 (b)(d) | 2986000 | 2942530 |
| Societe Generale SA 5.5% 4/13/2029 (b)(d) | 2025000 | 2061203 |
| TOTAL FRANCE |  | 8089274 |
| GERMANY - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Capital Markets - 0.1% |  |  |
| Deutsche Bank AG/New York NY 4.999% 9/11/2030 (d) | 600000 | 604543 |
| Deutsche Bank AG/New York NY 6.72% 1/18/2029 (d) | 1600000 | 1680756 |
|  |  | 2285299 |
| Health Care - 0.0% |  |  |
| Pharmaceuticals - 0.0% |  |  |
| Bayer US Finance II LLC 4.25% 12/15/2025 (b) | 1338000 | 1334234 |
| TOTAL GERMANY |  | 3619533 |
| HONG KONG - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Insurance - 0.0% |  |  |
| AIA Group Ltd 3.2% 9/16/2040 (b) | 1070000 | 822455 |
| IRELAND - 0.5%  |  |  |
| Financials - 0.3% |  |  |
| Consumer Finance - 0.3% |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45% 10/29/2026  | 1236000 | 1204206 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3% 10/29/2028  | 1295000 | 1233714 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.3% 1/30/2032  | 1385000 | 1254796 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.45% 4/3/2026  | 959000 | 957378 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.45% 4/15/2027  | 4054000 | 4186088 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.5% 7/15/2025  | 1112000 | 1112710 |
|  |  | 9948892 |
| Industrials - 0.2% |  |  |
| Transportation Infrastructure - 0.2% |  |  |
| Avolon Holdings Funding Ltd 4.25% 4/15/2026 (b) | 485000 | 482184 |
| Avolon Holdings Funding Ltd 4.375% 5/1/2026 (b) | 1433000 | 1424362 |
| Avolon Holdings Funding Ltd 5.15% 1/15/2030 (b) | 219000 | 220593 |
| Avolon Holdings Funding Ltd 5.375% 5/30/2030 (b) | 1183000 | 1203697 |
| Avolon Holdings Funding Ltd 6.375% 5/4/2028 (b) | 2774000 | 2892594 |
|  |  | 6223430 |
| TOTAL IRELAND |  | 16172322 |
| ITALY - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Intesa Sanpaolo SpA 5.71% 1/15/2026 (b) | 3922000 | 3930687 |
| MEXICO - 0.8%  |  |  |
| Energy - 0.8% |  |  |
| Oil, Gas & Consumable Fuels - 0.8% |  |  |
| Petroleos Mexicanos 4.5% 1/23/2026  | 1632000 | 1609560 |
| Petroleos Mexicanos 5.95% 1/28/2031  | 1957000 | 1764431 |
| Petroleos Mexicanos 6.35% 2/12/2048  | 4049000 | 2817699 |
| Petroleos Mexicanos 6.49% 1/23/2027  | 1175000 | 1166775 |
| Petroleos Mexicanos 6.5% 1/23/2029  | 1705000 | 1669007 |
| Petroleos Mexicanos 6.5% 3/13/2027  | 1481000 | 1470633 |
| Petroleos Mexicanos 6.7% 2/16/2032  | 5440000 | 5050497 |
| Petroleos Mexicanos 6.75% 9/21/2047  | 3713000 | 2689697 |
| Petroleos Mexicanos 6.84% 1/23/2030  | 1194000 | 1152091 |
| Petroleos Mexicanos 6.95% 1/28/2060  | 2417000 | 1737581 |
| Petroleos Mexicanos 7.69% 1/23/2050  | 4972000 | 3903020 |
| TOTAL MEXICO |  | 25030991 |
| NETHERLANDS - 0.4%  |  |  |
| Financials - 0.4% |  |  |
| Banks - 0.4% |  |  |
| ABN AMRO Bank NV 4.988% 12/3/2028 (b)(d) | 9000000 | 9121199 |
| Cooperatieve Rabobank UA 4.375% 8/4/2025  | 2285000 | 2283892 |
| TOTAL NETHERLANDS |  | 11405091 |
| QATAR - 0.0%  |  |  |
| Utilities - 0.0% |  |  |
| Gas Utilities - 0.0% |  |  |
| Nakilat Inc 6.067% 12/31/2033 (b) | 409102 | 427127 |
| SWITZERLAND - 0.3%  |  |  |
| Financials - 0.3% |  |  |
| Capital Markets - 0.3% |  |  |
| UBS Group AG 1.494% 8/10/2027 (b)(d) | 1788000 | 1729292 |
| UBS Group AG 3.869% 1/12/2029 (b)(d) | 1233000 | 1213971 |
| UBS Group AG 4.125% 9/24/2025 (b) | 1614000 | 1611316 |
| UBS Group AG 4.194% 4/1/2031 (b)(d) | 2950000 | 2888757 |
| UBS Group AG 4.55% 4/17/2026  | 790000 | 790142 |
|  |  | 8233478 |
| Insurance - 0.0% |  |  |
| Swiss Re Finance Luxembourg SA 5% 4/2/2049 (b)(d) | 200000 | 199200 |
| TOTAL SWITZERLAND |  | 8432678 |
| UNITED KINGDOM - 0.7%  |  |  |
| Consumer Staples - 0.2% |  |  |
| Tobacco - 0.2% |  |  |
| BAT Capital Corp 6.421% 8/2/2033  | 1030000 | 1118601 |
| Imperial Brands Finance PLC 4.25% 7/21/2025 (b) | 490000 | 489834 |
| Imperial Brands Finance PLC 6.125% 7/27/2027 (b) | 1136000 | 1172487 |
| Reynolds American Inc 5.7% 8/15/2035  | 373000 | 380767 |
| Reynolds American Inc 6.15% 9/15/2043  | 1227000 | 1241306 |
| Reynolds American Inc 7.25% 6/15/2037  | 909000 | 1016143 |
|  |  | 5419138 |
| Financials - 0.5% |  |  |
| Banks - 0.5% |  |  |
| Barclays PLC 5.088% 6/20/2030 (d) | 2253000 | 2263857 |
| Barclays PLC 5.2% 5/12/2026  | 1908000 | 1916604 |
| Barclays PLC 5.829% 5/9/2027 (d) | 2670000 | 2697186 |
| Barclays PLC 6.224% 5/9/2034 (d) | 2277000 | 2416706 |
| Barclays PLC 6.49% 9/13/2029 (d) | 642000 | 678763 |
| Barclays PLC 6.692% 9/13/2034 (d) | 3300000 | 3602669 |
| NatWest Group PLC 3.073% 5/22/2028 (d) | 1427000 | 1391445 |
|  |  | 14967230 |
| Industrials - 0.0% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| BAE Systems PLC 3.4% 4/15/2030 (b) | 696000 | 664157 |
| TOTAL UNITED KINGDOM |  | 21050525 |
| UNITED STATES - 20.6%  |  |  |
| Communication Services - 2.0% |  |  |
| Diversified Telecommunication Services - 0.6% |  |  |
| AT&T Inc 2.55% 12/1/2033  | 4584000 | 3836377 |
| AT&T Inc 3.65% 9/15/2059  | 712000 | 477684 |
| AT&T Inc 3.8% 12/1/2057  | 4678000 | 3273203 |
| AT&T Inc 4.3% 2/15/2030  | 859000 | 856205 |
| AT&T Inc 4.75% 5/15/2046  | 4816000 | 4202280 |
| Verizon Communications Inc 2.55% 3/21/2031  | 1698000 | 1522916 |
| Verizon Communications Inc 4.78% 2/15/2035  | 2099000 | 2044845 |
| Verizon Communications Inc 4.862% 8/21/2046  | 2282000 | 2036825 |
| Verizon Communications Inc 5.012% 4/15/2049  | 89000 | 81630 |
|  |  | 18331965 |
| Entertainment - 0.3% |  |  |
| Walt Disney Co/The 3.8% 3/22/2030  | 7061000 | 6952239 |
| Walt Disney Co/The 4.7% 3/23/2050  | 2229000 | 1990305 |
|  |  | 8942544 |
| Media - 1.0% |  |  |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.25% 1/15/2029  | 1100000 | 1013083 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.3% 2/1/2032  | 369000 | 311341 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.4% 4/1/2033  | 1073000 | 1010307 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.8% 3/1/2050  | 816000 | 652856 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.908% 7/23/2025  | 273000 | 272979 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.05% 3/30/2029  | 850000 | 858103 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 5/1/2047  | 5834000 | 5063390 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.5% 4/1/2063  | 1073000 | 907301 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.1% 6/1/2029  | 1545000 | 1617529 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.484% 10/23/2045  | 842000 | 834288 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.55% 6/1/2034  | 1067000 | 1138444 |
| Comcast Corp 2.937% 11/1/2056  | 2100000 | 1233018 |
| Comcast Corp 3.9% 3/1/2038  | 329000 | 286144 |
| Comcast Corp 4.65% 7/15/2042  | 779000 | 692022 |
| Discovery Communications LLC 3.625% 5/15/2030  | 1843000 | 1627093 |
| Discovery Communications LLC 4.125% 5/15/2029  | 64000 | 59443 |
| Discovery Communications LLC 5% 9/20/2037  | 2600000 | 1864584 |
| Time Warner Cable LLC 4.5% 9/15/2042  | 283000 | 225405 |
| Time Warner Cable LLC 5.5% 9/1/2041  | 521000 | 473729 |
| Time Warner Cable LLC 5.875% 11/15/2040  | 460000 | 441629 |
| Time Warner Cable LLC 6.55% 5/1/2037  | 6199000 | 6402446 |
| Time Warner Cable LLC 7.3% 7/1/2038  | 1160000 | 1264972 |
| Warnermedia Holdings Inc 3.755% 3/15/2027  | 184000 | 178939 |
| Warnermedia Holdings Inc 4.054% 3/15/2029  | 406000 | 377166 |
| Warnermedia Holdings Inc 4.279% 3/15/2032  | 1144000 | 962390 |
| Warnermedia Holdings Inc 5.05% 3/15/2042  | 996000 | 671055 |
| Warnermedia Holdings Inc 5.141% 3/15/2052  | 393000 | 242678 |
|  |  | 30682334 |
| Wireless Telecommunication Services - 0.1% |  |  |
| T-Mobile USA Inc 3.75% 4/15/2027  | 1871000 | 1851463 |
| T-Mobile USA Inc 3.875% 4/15/2030  | 2705000 | 2627144 |
| T-Mobile USA Inc 4.375% 4/15/2040  | 404000 | 357979 |
| T-Mobile USA Inc 4.5% 4/15/2050  | 793000 | 655694 |
|  |  | 5492280 |
| TOTAL COMMUNICATION SERVICES |  | 63449123 |
| Consumer Discretionary - 0.3% |  |  |
| Automobiles - 0.0% |  |  |
| General Motors Financial Co Inc 5.85% 4/6/2030  | 953000 | 985183 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| McDonald's Corp 3.5% 7/1/2027  | 517000 | 510629 |
| McDonald's Corp 3.6% 7/1/2030  | 615000 | 594926 |
|  |  | 1105555 |
| Specialty Retail - 0.3% |  |  |
| AutoNation Inc 4.75% 6/1/2030  | 234000 | 232665 |
| AutoZone Inc 4% 4/15/2030  | 1629000 | 1594855 |
| Lowe's Cos Inc 3.35% 4/1/2027  | 211000 | 207857 |
| Lowe's Cos Inc 3.75% 4/1/2032  | 649000 | 612087 |
| Lowe's Cos Inc 4.25% 4/1/2052  | 2647000 | 2071820 |
| Lowe's Cos Inc 4.45% 4/1/2062  | 2720000 | 2110707 |
| Lowe's Cos Inc 4.5% 4/15/2030  | 1170000 | 1178928 |
| O'Reilly Automotive Inc 4.2% 4/1/2030  | 361000 | 357337 |
|  |  | 8366256 |
| TOTAL CONSUMER DISCRETIONARY |  | 10456994 |
| Consumer Staples - 0.6% |  |  |
| Beverages - 0.2% |  |  |
| Molson Coors Beverage Co 3% 7/15/2026  | 2300000 | 2265772 |
| Molson Coors Beverage Co 5% 5/1/2042  | 4016000 | 3663082 |
|  |  | 5928854 |
| Consumer Staples Distribution & Retail - 0.3% |  |  |
| Mars Inc 4.8% 3/1/2030 (b) | 2106000 | 2133799 |
| Mars Inc 5% 3/1/2032 (b) | 1581000 | 1602018 |
| Mars Inc 5.2% 3/1/2035 (b) | 1314000 | 1329741 |
| Mars Inc 5.65% 5/1/2045 (b) | 1278000 | 1281090 |
| Mars Inc 5.7% 5/1/2055 (b) | 2548000 | 2541780 |
|  |  | 8888428 |
| Food Products - 0.0% |  |  |
| General Mills Inc 2.875% 4/15/2030  | 220000 | 204649 |
| Tobacco - 0.1% |  |  |
| Altria Group Inc 4.25% 8/9/2042  | 1696000 | 1378655 |
| Altria Group Inc 4.5% 5/2/2043  | 1137000 | 947871 |
| Altria Group Inc 4.8% 2/14/2029  | 311000 | 314450 |
| Altria Group Inc 5.95% 2/14/2049  | 407000 | 404743 |
|  |  | 3045719 |
| TOTAL CONSUMER STAPLES |  | 18067650 |
| Energy - 1.7% |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| Halliburton Co 3.8% 11/15/2025  | 18000 | 17931 |
| Halliburton Co 4.85% 11/15/2035  | 661000 | 636185 |
|  |  | 654116 |
| Oil, Gas & Consumable Fuels - 1.7% |  |  |
| Columbia Pipelines Operating Co LLC 5.927% 8/15/2030 (b) | 394000 | 415918 |
| Columbia Pipelines Operating Co LLC 6.036% 11/15/2033 (b) | 1061000 | 1113289 |
| Columbia Pipelines Operating Co LLC 6.497% 8/15/2043 (b) | 317000 | 327353 |
| Columbia Pipelines Operating Co LLC 6.544% 11/15/2053 (b) | 571000 | 590151 |
| Columbia Pipelines Operating Co LLC 6.714% 8/15/2063 (b) | 342000 | 360478 |
| DCP Midstream Operating LP 5.6% 4/1/2044  | 376000 | 343033 |
| DCP Midstream Operating LP 6.45% 11/3/2036 (b) | 760000 | 779585 |
| DCP Midstream Operating LP 6.75% 9/15/2037 (b) | 1037000 | 1091951 |
| Energy Transfer LP 3.75% 5/15/2030  | 710000 | 681216 |
| Energy Transfer LP 4.95% 6/15/2028  | 1242000 | 1260446 |
| Energy Transfer LP 5% 5/15/2050  | 2045000 | 1708946 |
| Energy Transfer LP 5.25% 4/15/2029  | 629000 | 644168 |
| Energy Transfer LP 5.4% 10/1/2047  | 414000 | 368675 |
| Energy Transfer LP 5.8% 6/15/2038  | 692000 | 694322 |
| Energy Transfer LP 6% 6/15/2048  | 451000 | 433077 |
| Energy Transfer LP 6.25% 4/15/2049  | 432000 | 426114 |
| Enterprise Products Operating LLC 3.7% 2/15/2026  | 1472000 | 1464577 |
| Hess Corp 4.3% 4/1/2027  | 1500000 | 1496482 |
| Hess Corp 5.6% 2/15/2041  | 4059000 | 4030411 |
| Hess Corp 7.125% 3/15/2033  | 308000 | 348790 |
| Hess Corp 7.3% 8/15/2031  | 411000 | 466137 |
| Hess Corp 7.875% 10/1/2029  | 1346000 | 1514844 |
| Kinder Morgan Energy Partners LP 6.55% 9/15/2040  | 141000 | 150764 |
| Kinder Morgan Inc 5.55% 6/1/2045  | 747000 | 704645 |
| MPLX LP 4.8% 2/15/2029  | 345000 | 348300 |
| MPLX LP 4.95% 9/1/2032  | 2116000 | 2096430 |
| MPLX LP 5.5% 2/15/2049  | 1036000 | 935424 |
| Occidental Petroleum Corp 6.2% 3/15/2040  | 521000 | 509782 |
| Occidental Petroleum Corp 6.45% 9/15/2036  | 1412000 | 1444649 |
| Occidental Petroleum Corp 6.6% 3/15/2046  | 1751000 | 1725511 |
| Occidental Petroleum Corp 7.5% 5/1/2031  | 2356000 | 2593108 |
| ONEOK Inc 4.25% 9/24/2027  | 752000 | 750735 |
| ONEOK Inc 4.4% 10/15/2029  | 786000 | 779979 |
| ONEOK Inc 4.75% 10/15/2031  | 1529000 | 1513831 |
| Plains All American Pipeline LP / PAA Finance Corp 3.55% 12/15/2029  | 405000 | 387122 |
| Sabine Pass Liquefaction LLC 4.5% 5/15/2030  | 2447000 | 2442906 |
| Targa Resources Corp 4.9% 9/15/2030  | 1131000 | 1140548 |
| Targa Resources Corp 5.65% 2/15/2036  | 2723000 | 2748591 |
| Transcontinental Gas Pipe Line Co LLC 3.25% 5/15/2030  | 312000 | 294271 |
| Transcontinental Gas Pipe Line Co LLC 3.95% 5/15/2050  | 1007000 | 760554 |
| Western Gas Partners LP 4.5% 3/1/2028  | 613000 | 609259 |
| Western Gas Partners LP 4.65% 7/1/2026  | 2778000 | 2772158 |
| Western Gas Partners LP 4.75% 8/15/2028  | 354000 | 353826 |
| Western Gas Partners LP 6.35% 1/15/2029  | 978000 | 1023853 |
| Williams Cos Inc/The 3.5% 11/15/2030  | 2609000 | 2466408 |
| Williams Cos Inc/The 4.65% 8/15/2032  | 2206000 | 2163782 |
| Williams Cos Inc/The 5.3% 8/15/2052  | 500000 | 456198 |
|  |  | 51732597 |
| TOTAL ENERGY |  | 52386713 |
| Financials - 10.6% |  |  |
| Banks - 4.8% |  |  |
| Bank of America Corp 2.299% 7/21/2032 (d) | 4656000 | 4057349 |
| Bank of America Corp 3.419% 12/20/2028 (d) | 5817000 | 5686023 |
| Bank of America Corp 4.25% 10/22/2026  | 1307000 | 1304620 |
| Bank of America Corp 4.45% 3/3/2026  | 465000 | 464505 |
| Bank of America Corp 4.623% 5/9/2029 (d) | 5903000 | 5940461 |
| Bank of America Corp 5.015% 7/22/2033 (d) | 17054000 | 17253673 |
| Bank of America Corp 5.468% 1/23/2035 (d) | 1410000 | 1448547 |
| Citigroup Inc 4.3% 11/20/2026  | 532000 | 531231 |
| Citigroup Inc 4.412% 3/31/2031 (d) | 3258000 | 3223424 |
| Citigroup Inc 4.45% 9/29/2027  | 5245000 | 5250034 |
| Citigroup Inc 4.6% 3/9/2026  | 673000 | 672905 |
| Citigroup Inc 4.91% 5/24/2033 (d) | 3492000 | 3484174 |
| Citigroup Inc 5.5% 9/13/2025  | 1694000 | 1696040 |
| Citigroup Inc 6.174% 5/25/2034 (d) | 1574000 | 1647709 |
| Citigroup Inc 6.27% 11/17/2033 (d) | 7000000 | 7537404 |
| Citizens Financial Group Inc 2.638% 9/30/2032  | 1490000 | 1255416 |
| Citizens Financial Group Inc 5.841% 1/23/2030 (d) | 9000000 | 9321677 |
| Fifth Third Bancorp 4.895% 9/6/2030 (d) | 3000000 | 3033279 |
| JPMorgan Chase & Co 2.956% 5/13/2031 (d) | 1324000 | 1224303 |
| JPMorgan Chase & Co 4.125% 12/15/2026  | 4319000 | 4314056 |
| JPMorgan Chase & Co 4.493% 3/24/2031 (d) | 3926000 | 3921067 |
| JPMorgan Chase & Co 4.586% 4/26/2033 (d) | 12887000 | 12754820 |
| JPMorgan Chase & Co 4.912% 7/25/2033 (d) | 5229000 | 5259272 |
| JPMorgan Chase & Co 5.103% 4/22/2031 (d) | 2202000 | 2256619 |
| JPMorgan Chase & Co 5.14% 1/24/2031 (d) | 4500000 | 4614655 |
| JPMorgan Chase & Co 5.572% 4/22/2036 (d) | 2615000 | 2710038 |
| JPMorgan Chase & Co 5.717% 9/14/2033 (d) | 2500000 | 2605744 |
| Santander Holdings USA Inc 2.49% 1/6/2028 (d) | 1754000 | 1697909 |
| Santander Holdings USA Inc 6.499% 3/9/2029 (d) | 2600000 | 2710955 |
| Wells Fargo & Co 3.526% 3/24/2028 (d) | 2893000 | 2852857 |
| Wells Fargo & Co 4.478% 4/4/2031 (d) | 4386000 | 4365302 |
| Wells Fargo & Co 4.897% 7/25/2033 (d) | 5000000 | 5000972 |
| Wells Fargo & Co 5.013% 4/4/2051 (d) | 4931000 | 4489762 |
| Wells Fargo & Co 5.15% 4/23/2031 (d) | 2981000 | 3053030 |
| Wells Fargo & Co 5.244% 1/24/2031 (d) | 4173000 | 4280820 |
| Wells Fargo & Co 5.499% 1/23/2035 (d) | 1539000 | 1578272 |
| Wells Fargo & Co 5.605% 4/23/2036 (d) | 2633000 | 2717834 |
|  |  | 146216758 |
| Capital Markets - 3.2% |  |  |
| Ares Strategic Income Fund 5.45% 9/9/2028 (b) | 1840000 | 1840903 |
| Ares Strategic Income Fund 5.7% 3/15/2028  | 8922000 | 8994108 |
| Ares Strategic Income Fund 5.8% 9/9/2030 (b) | 1489000 | 1494202 |
| Athene Global Funding 5.339% 1/15/2027 (b) | 4132000 | 4180856 |
| Athene Global Funding 5.583% 1/9/2029 (b) | 2079000 | 2137019 |
| Blackstone Private Credit Fund 7.05% 9/29/2025  | 2656000 | 2670623 |
| Blackstone Private Credit Fund 7.3% 11/27/2028  | 3100000 | 3306134 |
| Goldman Sachs Group Inc/The 2.383% 7/21/2032 (d) | 2893000 | 2526590 |
| Goldman Sachs Group Inc/The 3.102% 2/24/2033 (d) | 4837000 | 4353526 |
| Goldman Sachs Group Inc/The 3.691% 6/5/2028 (d) | 12774000 | 12592427 |
| Goldman Sachs Group Inc/The 3.8% 3/15/2030  | 4751000 | 4636335 |
| Goldman Sachs Group Inc/The 4.25% 10/21/2025  | 696000 | 695146 |
| Goldman Sachs Group Inc/The 6.75% 10/1/2037  | 689000 | 756370 |
| HPS Corporate Lending Fund 5.45% 1/14/2028  | 5651000 | 5666928 |
| Moody's Corp 3.25% 1/15/2028  | 732000 | 716659 |
| Morgan Stanley 3.125% 7/27/2026  | 6737000 | 6652771 |
| Morgan Stanley 3.622% 4/1/2031 (d) | 3078000 | 2951671 |
| Morgan Stanley 3.625% 1/20/2027  | 3374000 | 3344942 |
| Morgan Stanley 4.431% 1/23/2030 (d) | 1348000 | 1346105 |
| Morgan Stanley 4.889% 7/20/2033 (d) | 6522000 | 6528576 |
| Morgan Stanley 5% 11/24/2025  | 4489000 | 4495733 |
| Morgan Stanley 5.192% 4/17/2031 (d) | 1996000 | 2046159 |
| Morgan Stanley 5.25% 4/21/2034 (d) | 2830000 | 2878812 |
| Morgan Stanley 5.424% 7/21/2034 (d) | 3524000 | 3609994 |
| Morgan Stanley 5.664% 4/17/2036 (d) | 1583000 | 1640380 |
| Morgan Stanley 6.296% 10/18/2028 (d) | 2500000 | 2604190 |
| Morgan Stanley 6.342% 10/18/2033 (d) | 5000000 | 5428539 |
| Sixth Street Specialty Lending Inc 6.125% 3/1/2029  | 1118000 | 1144435 |
|  |  | 101240133 |
| Consumer Finance - 1.1% |  |  |
| Ally Financial Inc 5.543% 1/17/2031 (d) | 451000 | 457337 |
| Ally Financial Inc 5.737% 5/15/2029 (d) | 555000 | 564881 |
| Ally Financial Inc 6.184% 7/26/2035 (d) | 2021000 | 2061376 |
| Ally Financial Inc 6.7% 2/14/2033  | 2979000 | 3103923 |
| Ally Financial Inc 7.1% 11/15/2027  | 2560000 | 2697606 |
| Ally Financial Inc 8% 11/1/2031  | 829000 | 943916 |
| Capital One Financial Corp 3.273% 3/1/2030 (d) | 1912000 | 1828845 |
| Capital One Financial Corp 3.65% 5/11/2027  | 4134000 | 4089814 |
| Capital One Financial Corp 3.8% 1/31/2028  | 2165000 | 2136429 |
| Capital One Financial Corp 4.1% 2/9/2027  | 875000 | 870902 |
| Capital One Financial Corp 4.5% 1/30/2026  | 1437000 | 1436306 |
| Capital One Financial Corp 4.927% 5/10/2028 (d) | 2300000 | 2316837 |
| Capital One Financial Corp 4.985% 7/24/2026 (d) | 2151000 | 2150903 |
| Capital One Financial Corp 5.247% 7/26/2030 (d) | 2770000 | 2831699 |
| Capital One Financial Corp 5.468% 2/1/2029 (d) | 1952000 | 1998807 |
| Capital One Financial Corp 5.817% 2/1/2034 (d) | 2680000 | 2764741 |
| Synchrony Financial 3.95% 12/1/2027  | 2356000 | 2316713 |
|  |  | 34571035 |
| Financial Services - 0.7% |  |  |
| Corebridge Financial Inc 3.65% 4/5/2027  | 2280000 | 2249839 |
| Corebridge Financial Inc 3.85% 4/5/2029  | 904000 | 885741 |
| Corebridge Financial Inc 3.9% 4/5/2032  | 1076000 | 1009945 |
| Corebridge Financial Inc 4.35% 4/5/2042  | 245000 | 205642 |
| Corebridge Financial Inc 4.4% 4/5/2052  | 724000 | 578434 |
| Corebridge Global Funding 4.9% 12/3/2029 (b) | 3000000 | 3042187 |
| Corebridge Global Funding 5.9% 9/19/2028 (b) | 1659000 | 1733348 |
| Equitable Holdings Inc 4.35% 4/20/2028  | 1304000 | 1301524 |
| Equitable Holdings Inc 4.572% 2/15/2029 (b) | 450000 | 448968 |
| Jackson Financial Inc 3.125% 11/23/2031  | 273000 | 241684 |
| Jackson Financial Inc 5.17% 6/8/2027  | 1014000 | 1027454 |
| Jackson Financial Inc 5.67% 6/8/2032  | 1092000 | 1113917 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 3% 5/15/2032  | 3400000 | 2976571 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 3.625% 1/15/2032  | 320000 | 292605 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 5.125% 2/1/2028  | 1340000 | 1367336 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 5.5% 1/15/2030  | 122000 | 124795 |
| Pine Street Trust II 5.568% 2/15/2049 (b) | 1748000 | 1595955 |
| Sixth Street Lending Partners 6.125% 7/15/2030 (b) | 1928000 | 1963225 |
|  |  | 22159170 |
| Insurance - 0.8% |  |  |
| Five Corners Funding Trust II 2.85% 5/15/2030 (b) | 3419000 | 3173812 |
| Liberty Mutual Group Inc 4.569% 2/1/2029 (b) | 1255000 | 1255813 |
| Marsh & McLennan Cos Inc 4.375% 3/15/2029  | 1220000 | 1224682 |
| Marsh & McLennan Cos Inc 4.75% 3/15/2039  | 560000 | 532073 |
| Massachusetts Mutual Life Insurance Co 3.729% 10/15/2070 (b) | 1782000 | 1178892 |
| MetLife Inc 5.3% 12/15/2034  | 4063000 | 4173830 |
| Pacific LifeCorp 5.125% 1/30/2043 (b) | 1611000 | 1490917 |
| Reinsurance Group of America Inc 6% 9/15/2033  | 3764000 | 3945316 |
| Teachers Insurance & Annuity Association of America 4.9% 9/15/2044 (b) | 1640000 | 1474275 |
| Unum Group 3.875% 11/5/2025  | 1491000 | 1485477 |
| Unum Group 4% 6/15/2029  | 1353000 | 1328070 |
| Unum Group 4.046% 8/15/2041 (b) | 101000 | 80691 |
| Unum Group 5.75% 8/15/2042  | 2118000 | 2041822 |
| Western-Southern Global Funding 4.9% 5/1/2030 (b) | 871000 | 879194 |
|  |  | 24264864 |
| TOTAL FINANCIALS |  | 328451960 |
| Health Care - 1.1% |  |  |
| Biotechnology - 0.1% |  |  |
| Amgen Inc 5.15% 3/2/2028  | 1463000 | 1494837 |
| Amgen Inc 5.25% 3/2/2030  | 1336000 | 1376590 |
| Amgen Inc 5.25% 3/2/2033  | 1508000 | 1544227 |
|  |  | 4415654 |
| Health Care Providers & Services - 0.9% |  |  |
| Centene Corp 2.45% 7/15/2028  | 3009000 | 2794263 |
| Centene Corp 2.625% 8/1/2031  | 1403000 | 1202095 |
| Centene Corp 3.375% 2/15/2030  | 1564000 | 1440496 |
| Centene Corp 4.25% 12/15/2027  | 1762000 | 1735301 |
| Centene Corp 4.625% 12/15/2029  | 2738000 | 2663068 |
| Cigna Group/The 3.05% 10/15/2027  | 982000 | 956916 |
| Cigna Group/The 4.375% 10/15/2028  | 1860000 | 1862237 |
| Cigna Group/The 4.8% 8/15/2038  | 1158000 | 1088673 |
| Cigna Group/The 4.9% 12/15/2048  | 1157000 | 1010105 |
| CVS Health Corp 3% 8/15/2026  | 192000 | 188961 |
| CVS Health Corp 3.625% 4/1/2027  | 551000 | 544069 |
| CVS Health Corp 4.78% 3/25/2038  | 1830000 | 1679444 |
| CVS Health Corp 5% 1/30/2029  | 1114000 | 1130946 |
| CVS Health Corp 5.25% 1/30/2031  | 457000 | 467235 |
| HCA Inc 3.5% 9/1/2030  | 1260000 | 1191498 |
| HCA Inc 3.625% 3/15/2032  | 287000 | 264724 |
| HCA Inc 5.625% 9/1/2028  | 1311000 | 1349050 |
| HCA Inc 5.875% 2/1/2029  | 1446000 | 1500748 |
| Humana Inc 3.7% 3/23/2029  | 827000 | 801452 |
| Sabra Health Care LP 3.2% 12/1/2031  | 2870000 | 2557523 |
| Toledo Hospital/The Series 2018 B, 5.325% 11/15/2028  | 647000 | 644977 |
|  |  | 27073781 |
| Pharmaceuticals - 0.1% |  |  |
| Elanco Animal Health Inc 6.65% 8/28/2028 (d) | 409000 | 425449 |
| Mylan Inc 4.55% 4/15/2028  | 1227000 | 1216793 |
| Utah Acquisition Sub Inc 3.95% 6/15/2026  | 472000 | 467541 |
|  |  | 2109783 |
| TOTAL HEALTH CARE |  | 33599218 |
| Industrials - 0.4% |  |  |
| Aerospace & Defense - 0.3% |  |  |
| Boeing Co 5.04% 5/1/2027  | 909000 | 915772 |
| Boeing Co 5.15% 5/1/2030  | 909000 | 925452 |
| Boeing Co 5.705% 5/1/2040  | 920000 | 908904 |
| Boeing Co 5.805% 5/1/2050  | 920000 | 882281 |
| Boeing Co 5.93% 5/1/2060  | 908000 | 863110 |
| Boeing Co 6.259% 5/1/2027  | 645000 | 663586 |
| Boeing Co 6.298% 5/1/2029  | 827000 | 874264 |
| Boeing Co 6.388% 5/1/2031  | 626000 | 672759 |
| Boeing Co 6.528% 5/1/2034  | 670000 | 727974 |
| Boeing Co 6.858% 5/1/2054  | 1009000 | 1104569 |
| Boeing Co 7.008% 5/1/2064  | 952000 | 1045626 |
|  |  | 9584297 |
| Building Products - 0.0% |  |  |
| Carrier Global Corp 5.9% 3/15/2034  | 262000 | 278939 |
| Carrier Global Corp 6.2% 3/15/2054  | 163000 | 174655 |
|  |  | 453594 |
| Professional Services - 0.0% |  |  |
| Paychex Inc 5.1% 4/15/2030  | 271000 | 277552 |
| Paychex Inc 5.35% 4/15/2032  | 377000 | 387121 |
| Paychex Inc 5.6% 4/15/2035  | 294000 | 303897 |
|  |  | 968570 |
| Trading Companies & Distributors - 0.1% |  |  |
| Air Lease Corp 3.375% 7/1/2025  | 1977000 | 1977000 |
| TOTAL INDUSTRIALS |  | 12983461 |
| Information Technology - 0.8% |  |  |
| Electronic Equipment, Instruments & Components - 0.0% |  |  |
| Dell International LLC / EMC Corp 6.02% 6/15/2026  | 342000 | 345232 |
| Dell International LLC / EMC Corp 6.1% 7/15/2027  | 729000 | 753427 |
| Dell International LLC / EMC Corp 6.2% 7/15/2030  | 631000 | 675233 |
|  |  | 1773892 |
| Semiconductors & Semiconductor Equipment - 0.5% |  |  |
| Broadcom Inc 1.95% 2/15/2028 (b) | 510000 | 481001 |
| Broadcom Inc 2.45% 2/15/2031 (b) | 4340000 | 3880806 |
| Broadcom Inc 2.6% 2/15/2033 (b) | 4340000 | 3712151 |
| Broadcom Inc 3.419% 4/15/2033 (b) | 392000 | 355516 |
| Broadcom Inc 3.5% 2/15/2041 (b) | 3113000 | 2467202 |
| Broadcom Inc 3.75% 2/15/2051 (b) | 1645000 | 1230469 |
| Marvell Technology Inc 4.75% 7/15/2030  | 807000 | 810573 |
| Marvell Technology Inc 5.45% 7/15/2035  | 1313000 | 1322137 |
|  |  | 14259855 |
| Software - 0.3% |  |  |
| Oracle Corp 1.65% 3/25/2026  | 1992000 | 1951266 |
| Oracle Corp 2.3% 3/25/2028  | 3147000 | 2986866 |
| Oracle Corp 2.8% 4/1/2027  | 1797000 | 1751671 |
| Oracle Corp 3.6% 4/1/2040  | 1797000 | 1438277 |
|  |  | 8128080 |
| TOTAL INFORMATION TECHNOLOGY |  | 24161827 |
| Materials - 0.1% |  |  |
| Chemicals - 0.1% |  |  |
| Celanese US Holdings LLC 6.85% 11/15/2028 (d) | 1381000 | 1451122 |
| Celanese US Holdings LLC 7.05% 11/15/2030 (d) | 1399000 | 1472386 |
| Celanese US Holdings LLC 7.2% 11/15/2033 (d) | 817000 | 867294 |
|  |  | 3790802 |
| Real Estate - 2.2% |  |  |
| Diversified REITs - 0.4% |  |  |
| Piedmont Operating Partnership LP 2.75% 4/1/2032  | 451000 | 375578 |
| Store Capital LLC 2.75% 11/18/2030  | 2676000 | 2358231 |
| Store Capital LLC 4.625% 3/15/2029  | 550000 | 540874 |
| VICI Properties LP 4.75% 2/15/2028  | 2029000 | 2040128 |
| VICI Properties LP 4.75% 4/1/2028  | 496000 | 500057 |
| VICI Properties LP 4.95% 2/15/2030  | 2648000 | 2663491 |
| VICI Properties LP 5.125% 5/15/2032  | 720000 | 717350 |
| VICI Properties LP 5.75% 4/1/2034  | 374000 | 382322 |
| Vornado Realty LP 2.15% 6/1/2026  | 578000 | 561453 |
| WP Carey Inc 2.4% 2/1/2031  | 1166000 | 1025248 |
| WP Carey Inc 3.85% 7/15/2029  | 391000 | 380484 |
|  |  | 11545216 |
| Health Care REITs - 0.8% |  |  |
| Alexandria Real Estate Equities Inc 4.9% 12/15/2030  | 1278000 | 1287126 |
| Healthcare Realty Holdings LP 3.1% 2/15/2030  | 402000 | 372835 |
| Healthcare Realty Holdings LP 3.5% 8/1/2026  | 419000 | 413750 |
| Healthpeak OP LLC 3.25% 7/15/2026  | 176000 | 173888 |
| Healthpeak OP LLC 3.5% 7/15/2029  | 201000 | 194043 |
| Omega Healthcare Investors Inc 3.25% 4/15/2033  | 1822000 | 1572854 |
| Omega Healthcare Investors Inc 3.375% 2/1/2031  | 810000 | 741210 |
| Omega Healthcare Investors Inc 3.625% 10/1/2029  | 1814000 | 1726776 |
| Omega Healthcare Investors Inc 4.5% 4/1/2027  | 4967000 | 4976894 |
| Omega Healthcare Investors Inc 4.75% 1/15/2028  | 1958000 | 1966375 |
| Omega Healthcare Investors Inc 5.25% 1/15/2026  | 1744000 | 1744861 |
| Ventas Realty LP 3% 1/15/2030  | 2340000 | 2195975 |
| Ventas Realty LP 4% 3/1/2028  | 688000 | 681606 |
| Ventas Realty LP 4.125% 1/15/2026  | 478000 | 476050 |
| Ventas Realty LP 4.375% 2/1/2045  | 234000 | 191088 |
| Ventas Realty LP 4.75% 11/15/2030  | 3072000 | 3083826 |
|  |  | 21799157 |
| Industrial REITs - 0.0% |  |  |
| LXP Industrial Trust 2.7% 9/15/2030  | 560000 | 501838 |
| Office REITs - 0.2% |  |  |
| Boston Properties LP 3.25% 1/30/2031  | 1190000 | 1090474 |
| Boston Properties LP 4.5% 12/1/2028  | 1193000 | 1183585 |
| Boston Properties LP 6.75% 12/1/2027  | 1655000 | 1737903 |
| COPT Defense Properties LP 2% 1/15/2029  | 199000 | 181302 |
| COPT Defense Properties LP 2.25% 3/15/2026  | 510000 | 500274 |
| COPT Defense Properties LP 2.75% 4/15/2031  | 509000 | 450207 |
| Hudson Pacific Properties LP 4.65% 4/1/2029  | 2374000 | 2132952 |
|  |  | 7276697 |
| Real Estate Management & Development - 0.3% |  |  |
| Brandywine Operating Partnership LP 3.95% 11/15/2027  | 1415000 | 1377417 |
| Brandywine Operating Partnership LP 4.55% 10/1/2029  | 1792000 | 1687823 |
| Brandywine Operating Partnership LP 8.3% 3/15/2028  | 2334000 | 2502452 |
| CBRE Services Inc 2.5% 4/1/2031  | 1708000 | 1509485 |
| Tanger Properties LP 2.75% 9/1/2031  | 1346000 | 1180317 |
| Tanger Properties LP 3.125% 9/1/2026  | 1874000 | 1840042 |
|  |  | 10097536 |
| Residential REITs - 0.2% |  |  |
| American Homes 4 Rent LP 2.375% 7/15/2031  | 231000 | 201147 |
| American Homes 4 Rent LP 3.625% 4/15/2032  | 989000 | 912549 |
| American Homes 4 Rent LP 5.5% 7/15/2034  | 3001000 | 3041046 |
| Invitation Homes Operating Partnership LP 4.15% 4/15/2032  | 1453000 | 1375413 |
| Sun Communities Operating LP 2.3% 11/1/2028  | 512000 | 478600 |
| Sun Communities Operating LP 2.7% 7/15/2031  | 1323000 | 1172480 |
|  |  | 7181235 |
| Retail REITs - 0.3% |  |  |
| Brixmor Operating Partnership LP 4.05% 7/1/2030  | 1554000 | 1507560 |
| Brixmor Operating Partnership LP 4.125% 5/15/2029  | 1549000 | 1523132 |
| Brixmor Operating Partnership LP 4.125% 6/15/2026  | 1425000 | 1419572 |
| Kite Realty Group Trust 4.75% 9/15/2030  | 2980000 | 2974585 |
| Phillips Edison Grocery Center Operating Partnership I LP 5.75% 7/15/2034  | 473000 | 486511 |
| Realty Income Corp 2.2% 6/15/2028  | 244000 | 230359 |
| Realty Income Corp 2.85% 12/15/2032  | 301000 | 263433 |
| Realty Income Corp 3.25% 1/15/2031  | 313000 | 293384 |
| Realty Income Corp 3.4% 1/15/2028  | 489000 | 479522 |
| Simon Property Group LP 2.45% 9/13/2029  | 499000 | 463685 |
|  |  | 9641743 |
| TOTAL REAL ESTATE |  | 68043422 |
| Utilities - 0.8% |  |  |
| Electric Utilities - 0.5% |  |  |
| Alabama Power Co 3.05% 3/15/2032  | 2030000 | 1851276 |
| Cleco Corporate Holdings LLC 3.375% 9/15/2029  | 1057000 | 982802 |
| Cleco Corporate Holdings LLC 3.743% 5/1/2026  | 4043000 | 4014395 |
| Consolidated Edison Co of New York Inc 3.35% 4/1/2030  | 242000 | 232577 |
| Duke Energy Corp 2.45% 6/1/2030  | 854000 | 774953 |
| Duquesne Light Holdings Inc 2.532% 10/1/2030 (b) | 405000 | 358009 |
| Duquesne Light Holdings Inc 2.775% 1/7/2032 (b) | 1402000 | 1208918 |
| Entergy Corp 2.8% 6/15/2030  | 876000 | 809179 |
| Exelon Corp 2.75% 3/15/2027  | 449000 | 438086 |
| Exelon Corp 3.35% 3/15/2032  | 546000 | 503662 |
| Exelon Corp 4.05% 4/15/2030  | 534000 | 525319 |
| Exelon Corp 4.1% 3/15/2052  | 404000 | 309731 |
| Exelon Corp 4.7% 4/15/2050  | 238000 | 200639 |
| Southern Co/The 4.85% 3/15/2035  | 1930000 | 1886697 |
| Southern Co/The 5.7% 3/15/2034  | 2053000 | 2145329 |
|  |  | 16241572 |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |
| AES Corp/The 2.45% 1/15/2031  | 673000 | 588365 |
| AES Corp/The 3.95% 7/15/2030 (b) | 2298000 | 2184770 |
|  |  | 2773135 |
| Multi-Utilities - 0.2% |  |  |
| NiSource Inc 2.95% 9/1/2029  | 2624000 | 2475499 |
| NiSource Inc 3.6% 5/1/2030  | 1602000 | 1536600 |
| Puget Energy Inc 4.1% 6/15/2030  | 1032000 | 996830 |
| Puget Energy Inc 4.224% 3/15/2032  | 1875000 | 1764588 |
|  |  | 6773517 |
| TOTAL UTILITIES |  | 25788224 |
| TOTAL UNITED STATES |  | 641179394 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $778,184,001) |  | <br> **751283871** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 21.1%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 21.1%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 21.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 21.1%  |  |  |
| Fannie Mae 2.5% 1/1/2052  | 253148 | 211632 |
| Fannie Mae 2.5% 4/1/2052  | 1370113 | 1149275 |
| Fannie Mae 2.5% 6/1/2052  | 813945 | 687585 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.48%, 7.48% 7/1/2034 (c)(d) | 724 | 739 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.553%, 7.428% 6/1/2036 (c)(d) | 857 | 879 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.643%, 6.905% 11/1/2036 (c)(d) | 12768 | 13125 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.645%, 6.395% 5/1/2036 (c)(d) | 10161 | 10458 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.7%, 6.564% 6/1/2042 (c)(d) | 10053 | 10449 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.814% 7/1/2035 (c)(d) | 917 | 943 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.788%, 6.788% 2/1/2036 (c)(d) | 5559 | 5742 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 7.622% 7/1/2041 (c)(d) | 2495 | 2599 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 7.318% 9/1/2041 (c)(d) | 4589 | 4779 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 7.569% 7/1/2041 (c)(d) | 5578 | 5817 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.82%, 6.695% 12/1/2035 (c)(d) | 5946 | 6144 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.83%, 7.33% 10/1/2041 (c)(d) | 1492 | 1536 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.95%, 7.385% 9/1/2036 (c)(d) | 10797 | 11179 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.955%, 6.738% 7/1/2037 (c)(d) | 3778 | 3924 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 1.945%, 6.995% 10/1/2033 (c)(d) | 14660 | 14878 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.208%, 6.458% 3/1/2035 (c)(d) | 1221 | 1250 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.224%, 6.508% 8/1/2036 (c)(d) | 18028 | 18457 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.277%, 7.24% 10/1/2033 (c)(d) | 1641 | 1674 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.464%, 6.711% 5/1/2035 (c)(d) | 2078 | 2129 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036  | 592071 | 528575 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 97528 | 81166 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 1264918 | 1129263 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 1203491 | 1079313 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 655993 | 585642 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 12720 | 11408 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040  | 94284 | 78593 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2041  | 1746587 | 1440834 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 1252246 | 1117950 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 13203 | 11787 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 95527 | 79565 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 298143 | 266169 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 14741 | 13160 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 13907 | 12415 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2041  | 99514 | 82752 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 162144 | 144755 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 17356 | 15495 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2041  | 101593 | 84421 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 356220 | 318018 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 17876 | 15959 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2036  | 15386 | 13712 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 19594 | 17462 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 18808 | 16762 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 821055 | 617493 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 7/1/2036  | 15973 | 14235 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 8/1/2036  | 19810 | 17642 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2036  | 20549 | 18300 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 202421 | 161577 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 4628410 | 3714752 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 2016198 | 1612526 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 313228 | 248851 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 65536 | 52292 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2035  | 742861 | 682516 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2040  | 40134 | 34683 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 1539746 | 1315617 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 1530841 | 1309891 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 323498 | 276788 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 183737 | 148615 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 1340532 | 1076746 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 997350 | 804835 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2040  | 2429585 | 2097021 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 1469752 | 1256952 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 716595 | 613178 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 573708 | 490835 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 329087 | 281453 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 135653 | 108705 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 140632 | 121683 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 15092 | 13017 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2041  | 777142 | 663666 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 737745 | 589807 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 2759510 | 2214777 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 785945 | 629816 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 545818 | 438072 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 305228 | 246024 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041  | 16065 | 13837 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 1530941 | 1222989 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 16865 | 13483 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 4761389 | 3805114 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 734995 | 586460 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2041  | 16450 | 14159 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 17655 | 14104 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 47691 | 41260 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 1897679 | 1512992 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2042  | 12117043 | 10442209 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2036  | 372085 | 340581 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 35000 | 30255 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 17625 | 15135 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 676851 | 580500 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 489124 | 418684 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 460194 | 396522 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 4736856 | 3788468 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 175896 | 141503 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 150636 | 120947 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 60059 | 48184 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 48981 | 39374 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 33913 | 27081 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2041  | 931060 | 796946 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2041  | 749600 | 642465 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2041  | 93634 | 80188 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2041  | 484693 | 414622 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2033  | 24193 | 23171 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 514236 | 453334 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 467405 | 391629 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 380215 | 316554 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2039  | 95337 | 85773 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2041  | 390686 | 347504 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2050  | 2685775 | 2270500 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 2687737 | 2237723 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 144769 | 121344 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 28262 | 27079 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2036  | 2032659 | 1900435 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2040  | 327176 | 292260 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 209858 | 185500 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 136754 | 120944 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 3111571 | 2590593 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1874969 | 1575100 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1308896 | 1095880 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1009294 | 845037 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 1279987 | 1071676 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 755561 | 634723 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 683828 | 573607 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 151946 | 143629 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 51378 | 48566 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2041  | 289304 | 257415 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  | 89498 | 80086 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2047  | 86055 | 72830 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 421252 | 353486 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 494580 | 415326 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2041  | 271578 | 241562 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  | 1055399 | 894522 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 566281 | 471113 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 523675 | 438941 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 415107 | 348847 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2040  | 65958 | 59015 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 110410 | 98393 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2046  | 51913 | 44016 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 4685323 | 3925740 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 1237286 | 1045204 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 1149348 | 960142 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2053  | 290444 | 241633 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2033  | 19648 | 18799 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2050  | 375349 | 317430 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2031  | 1858609 | 1791360 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 410822 | 365363 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 187102 | 166031 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2039  | 20412 | 18362 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2041  | 663165 | 589897 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 167463 | 139686 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2036  | 40338 | 37727 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2041  | 176775 | 156592 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 356558 | 343235 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 62622 | 60420 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 63580 | 58041 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 58532 | 53547 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 48069 | 43824 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 23488 | 21623 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 14468 | 13291 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 11363 | 10350 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 11286 | 10320 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 10285 | 9363 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 8591 | 7842 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 8403 | 7698 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 7884 | 7204 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 7858 | 7181 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 3689 | 3339 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 536320 | 468993 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 624127 | 558454 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 273519 | 241747 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 937578 | 819585 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  | 10929 | 10597 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 18719 | 17043 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 9273 | 8491 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 8259 | 7599 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 7900 | 7324 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 7114 | 6437 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 799622 | 715482 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 770407 | 689341 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 103934 | 90886 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 1221824 | 1070731 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 749015 | 656859 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 149753 | 145179 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 484851 | 466735 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 138008 | 133154 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 62015 | 56647 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 35678 | 32620 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 25698 | 23397 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 25595 | 23369 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 25408 | 23228 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 24567 | 22260 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 23917 | 21865 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 10545 | 9725 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 8081 | 7385 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 7026 | 6421 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 5131 | 4641 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 3225 | 2974 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  | 973041 | 850889 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 1041943 | 910816 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 582804 | 509641 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 327770 | 287238 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 387140 | 353217 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 296095 | 270264 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 156429 | 142984 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 143374 | 130862 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 35506 | 32465 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 31014 | 28078 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 21379 | 19463 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 2384 | 2234 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 546984 | 481907 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 5375210 | 4695385 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 1690937 | 1472850 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 814436 | 711431 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 202880 | 196585 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 59403 | 57748 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 32985 | 31945 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 19444 | 18869 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 32183 | 29398 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2044  | 36871 | 33229 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2047  | 285770 | 255700 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2048  | 3642569 | 3258145 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 1393246 | 1215295 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 78869 | 72037 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 65977 | 59479 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 29784 | 27169 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 23656 | 21561 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 21463 | 19563 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 11558 | 10548 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 41790 | 37575 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 3651 | 3306 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 258462 | 231427 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 141676 | 124820 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2033  | 256321 | 247592 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 28208 | 25783 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2045  | 16400 | 14636 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 20389 | 18584 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2045  | 20268 | 18161 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2045  | 18066 | 16188 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 905718 | 796545 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2032  | 186359 | 180848 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 184476 | 167948 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 90914 | 81433 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 35136 | 31472 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 12879 | 11536 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 449675 | 394630 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 39109 | 37962 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 32256 | 31294 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  | 225484 | 199080 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 73532 | 68921 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  | 32930 | 30408 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 547267 | 504664 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 500676 | 461544 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 190867 | 175949 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 104962 | 96758 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 69537 | 64102 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 69006 | 63613 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 64030 | 59026 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 15641 | 14418 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 509510 | 462402 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 75837 | 68920 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2046  | 623396 | 574867 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2046  | 67189 | 61938 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2034  | 667861 | 653994 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 29547 | 27601 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2046  | 27019 | 24908 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2048  | 2443808 | 2252801 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 869397 | 813609 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2035  | 939385 | 915771 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2042  | 31814 | 29836 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046  | 96811 | 89395 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2047  | 44420 | 40948 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 159113 | 144402 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 66133 | 61921 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2039  | 4979 | 4771 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 201141 | 188708 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 71891 | 67469 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 47113 | 44100 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 3615 | 3383 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 376272 | 347568 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 317535 | 293312 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 206413 | 190602 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 165832 | 155947 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 120550 | 113169 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 20655 | 19307 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 6140 | 5837 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 111338 | 102706 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 47475 | 43795 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 92937 | 85732 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 61960 | 57156 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 59758 | 55125 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 54291 | 50082 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2034  | 1416444 | 1384821 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2037  | 21983 | 21075 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 88882 | 83463 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 94921 | 87561 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 91546 | 84448 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2050  | 1046686 | 957027 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  | 54040 | 49816 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 2641 | 2549 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 12074 | 11689 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043  | 89760 | 86583 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 217069 | 206980 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 2226 | 2166 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 7151 | 6895 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 64070 | 61772 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 7292 | 7023 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  | 811834 | 772831 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 499778 | 478744 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  | 9183 | 8750 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2049  | 315373 | 296220 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 1090564 | 1024879 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2045  | 2911 | 2799 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2041  | 37233 | 35702 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2045  | 2002 | 1909 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2039  | 936 | 908 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2042  | 2178 | 2100 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 198848 | 189854 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 17398 | 16573 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 11758 | 11360 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 235857 | 225041 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 10591 | 10082 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044  | 14239 | 14046 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2045  | 29438 | 28915 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  | 6086 | 5978 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2052  | 21663 | 20777 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 92115 | 91208 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2041  | 8728 | 8648 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 64338 | 63698 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 62191 | 61086 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2038  | 7343 | 7311 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 199878 | 197816 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2043  | 71690 | 70747 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 24436 | 24001 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 23040 | 22631 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 10564 | 10376 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 7174 | 7055 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046  | 16594 | 16196 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 460372 | 449167 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2052  | 1610860 | 1545981 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2044  | 16830 | 16571 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2045  | 2382 | 2347 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2047  | 175289 | 172502 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2040  | 925 | 916 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 157500 | 156005 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 10575 | 10337 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2029  | 332 | 331 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 716460 | 712991 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 123575 | 123018 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 26786 | 26477 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 52563 | 51727 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 24457 | 24068 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2045  | 16185 | 15877 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 27035 | 26310 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 298437 | 297422 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044  | 30433 | 29949 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 187806 | 183235 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 32867 | 32026 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2038  | 27732 | 27475 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 148235 | 144627 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 29351 | 29227 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 13167 | 13111 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 5889 | 5864 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2037  | 4262 | 4246 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 13508 | 13371 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 5442 | 5386 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 26555 | 26132 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 22345 | 21947 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2049  | 519089 | 503373 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2052  | 1895671 | 1820061 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 32386 | 32245 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 15461 | 15394 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 12159 | 12106 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 6641 | 6613 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 69780 | 69408 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2044  | 34106 | 33500 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2049  | 700218 | 682738 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2052  | 731436 | 702263 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2041  | 165558 | 167488 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 81976 | 81310 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 1323465 | 1316426 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 704600 | 698871 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 462994 | 459229 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2054  | 8379771 | 8214089 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 795363 | 783179 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 465486 | 461556 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2035  | 13107 | 13242 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2033  | 6178 | 6236 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2044  | 9824 | 9938 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 245969 | 247658 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 450611 | 456381 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 143888 | 144247 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 1529784 | 1549374 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  | 776898 | 778349 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.313%, 5.938% 5/1/2034 (c)(d) | 5789 | 5847 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.42%, 5.998% 9/1/2033 (c)(d) | 14725 | 14853 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.55%, 6.195% 10/1/2033 (c)(d) | 580 | 589 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.565%, 6.369% 7/1/2035 (c)(d) | 803 | 818 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2038  | 35988 | 37881 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2040  | 35393 | 37308 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2042  | 3331 | 3514 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 13365 | 13952 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2037  | 36642 | 38513 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  | 286245 | 294988 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 20934 | 21840 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 686323 | 706859 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 261988 | 269990 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 93639 | 96616 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 1024262 | 1053948 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2038  | 12990 | 13696 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2055  | 496316 | 511476 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2036  | 268369 | 280859 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2040  | 50417 | 53107 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 882144 | 908056 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 2751941 | 2828261 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 1984959 | 2036908 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2055  | 499157 | 515067 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2038  | 5824 | 6142 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2041  | 107791 | 113601 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2037  | 57590 | 59991 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  | 6446176 | 6566534 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2037  | 3394 | 3574 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 7853291 | 7999921 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 191936 | 198038 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2054  | 977215 | 1018292 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055  | 190847 | 200330 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 11/1/2053  | 891595 | 929073 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2032  | 3140 | 3274 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2035  | 30972 | 32386 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2036  | 1414 | 1497 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 176045 | 182220 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  | 2219402 | 2321884 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 8965 | 9348 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 1706 | 1778 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 3702 | 3878 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 310905 | 323974 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 27385 | 28623 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 21485 | 22446 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 5039 | 5272 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 579670 | 605712 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2027  | 239 | 252 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028  | 240 | 252 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028  | 81 | 86 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028  | 50 | 53 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2029  | 34 | 36 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 176 | 186 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 5 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2025  | 31 | 31 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2025  | 19 | 19 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 312 | 328 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 6 | 6 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2026  | 1 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2027  | 73 | 76 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2028  | 86 | 90 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 40 | 42 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2029  | 3412 | 3589 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2026  | 14 | 14 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2026  | 161 | 161 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2026  | 129 | 129 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2026  | 36 | 36 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 91 | 91 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 76 | 76 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 20 | 20 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2026  | 454 | 456 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2025  | 4 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2027  | 31 | 32 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026  | 11 | 11 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 287 | 294 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2026  | 238 | 240 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 51 | 52 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 251 | 256 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 8 | 8 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2028  | 77 | 78 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2029  | 132 | 138 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2031  | 2234 | 2352 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 79 | 80 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2028  | 18 | 18 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2029  | 81 | 84 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2026  | 19 | 19 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2027  | 164 | 166 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 45 | 46 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 56 | 57 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2029  | 50 | 51 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2029  | 21 | 21 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 41 | 41 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2028  | 591 | 608 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2029  | 55 | 58 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 1244 | 1271 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2028  | 204 | 210 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 37 | 37 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2028  | 1303 | 1325 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2028  | 200 | 200 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 531 | 554 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 409 | 426 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 108 | 111 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 106 | 109 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 40 | 41 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 24 | 25 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 8 | 9 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2025  | 7 | 7 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 3923 | 4101 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 268 | 281 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 9 | 9 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 587333 | 524345 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 5031564 | 4512399 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 22537 | 20212 |
| Freddie Mac Gold Pool 1.5% 12/1/2035  | 1237621 | 1104893 |
| Freddie Mac Gold Pool 1.5% 12/1/2040  | 59044 | 49176 |
| Freddie Mac Gold Pool 1.5% 2/1/2036  | 1585673 | 1415619 |
| Freddie Mac Gold Pool 1.5% 2/1/2036  | 17003 | 15179 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  | 100484 | 83550 |
| Freddie Mac Gold Pool 1.5% 3/1/2036  | 14529 | 12971 |
| Freddie Mac Gold Pool 1.5% 3/1/2041  | 101949 | 84701 |
| Freddie Mac Gold Pool 1.5% 4/1/2036  | 18479 | 16497 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 102806 | 85349 |
| Freddie Mac Gold Pool 1.5% 4/1/2051  | 10437076 | 7855966 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 18949 | 16887 |
| Freddie Mac Gold Pool 1.5% 6/1/2036  | 19209 | 17119 |
| Freddie Mac Gold Pool 1.5% 7/1/2036  | 17192 | 15322 |
| Freddie Mac Gold Pool 1.5% 8/1/2035  | 4262626 | 3822801 |
| Freddie Mac Gold Pool 1.5% 8/1/2036  | 15866 | 14129 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 1380116 | 1103365 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 285267 | 228954 |
| Freddie Mac Gold Pool 2% 10/1/2041  | 18237 | 15605 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 1317630 | 1056704 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 579679 | 495491 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 102931 | 82162 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 2580471 | 2067855 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 774860 | 619722 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 1039670 | 834437 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 52654 | 42013 |
| Freddie Mac Gold Pool 2% 2/1/2041  | 240052 | 206612 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 2673130 | 2136260 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 1212152 | 970976 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 749624 | 601178 |
| Freddie Mac Gold Pool 2% 3/1/2041  | 113058 | 97836 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 428470 | 342416 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 248871 | 197488 |
| Freddie Mac Gold Pool 2% 4/1/2041  | 16981 | 14597 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 928853 | 748978 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 192721 | 153894 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 107346 | 86290 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 81019 | 64697 |
| Freddie Mac Gold Pool 2% 6/1/2035  | 6398526 | 5890751 |
| Freddie Mac Gold Pool 2% 6/1/2036  | 2471823 | 2262533 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 3785742 | 3027781 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 455219 | 366211 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 1681498 | 1450254 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 17545 | 15041 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 59792 | 48063 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 6514794 | 5206366 |
| Freddie Mac Gold Pool 2.5% 1/1/2042  | 204570 | 180681 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 1162061 | 972215 |
| Freddie Mac Gold Pool 2.5% 10/1/2041  | 100474 | 88912 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 249409 | 208819 |
| Freddie Mac Gold Pool 2.5% 11/1/2032  | 10155 | 9740 |
| Freddie Mac Gold Pool 2.5% 11/1/2049  | 12932 | 10872 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 2351097 | 1980223 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 130522 | 110423 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 156192 | 130040 |
| Freddie Mac Gold Pool 2.5% 12/1/2050  | 106959 | 90488 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 1307583 | 1096824 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 956324 | 800687 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 336390 | 280068 |
| Freddie Mac Gold Pool 2.5% 2/1/2035  | 125568 | 118695 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 3560867 | 2983580 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 539435 | 455859 |
| Freddie Mac Gold Pool 2.5% 3/1/2033  | 66521 | 63727 |
| Freddie Mac Gold Pool 2.5% 3/1/2050  | 245975 | 206405 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  | 3353676 | 2809978 |
| Freddie Mac Gold Pool 2.5% 4/1/2033  | 29754 | 28479 |
| Freddie Mac Gold Pool 2.5% 4/1/2047  | 1254577 | 1061771 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 297459 | 250815 |
| Freddie Mac Gold Pool 2.5% 5/1/2033  | 7866 | 7528 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 2133261 | 1782084 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 518951 | 438387 |
| Freddie Mac Gold Pool 2.5% 6/1/2040  | 56471 | 50638 |
| Freddie Mac Gold Pool 2.5% 7/1/2036  | 820067 | 770053 |
| Freddie Mac Gold Pool 2.5% 8/1/2032  | 7120 | 6837 |
| Freddie Mac Gold Pool 2.5% 8/1/2050  | 2240363 | 1883457 |
| Freddie Mac Gold Pool 2.5% 8/1/2050  | 551035 | 466007 |
| Freddie Mac Gold Pool 3% 1/1/2033  | 27278 | 26413 |
| Freddie Mac Gold Pool 3% 1/1/2034  | 45996 | 44600 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 58001 | 53057 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 735552 | 642524 |
| Freddie Mac Gold Pool 3% 11/1/2042  | 69382 | 64172 |
| Freddie Mac Gold Pool 3% 11/1/2042  | 17231 | 15758 |
| Freddie Mac Gold Pool 3% 11/1/2042  | 4160 | 3820 |
| Freddie Mac Gold Pool 3% 11/1/2050  | 69916 | 61139 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 689033 | 601888 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 56205 | 54574 |
| Freddie Mac Gold Pool 3% 12/1/2044  | 13767 | 12302 |
| Freddie Mac Gold Pool 3% 12/1/2046  | 1180744 | 1055273 |
| Freddie Mac Gold Pool 3% 12/1/2050  | 569087 | 497646 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 23222 | 22501 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 163479 | 149883 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 33014 | 30353 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 26872 | 24522 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 15160 | 13882 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 7098 | 6443 |
| Freddie Mac Gold Pool 3% 3/1/2033  | 46392 | 45001 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 1362914 | 1190540 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 373430 | 325734 |
| Freddie Mac Gold Pool 3% 4/1/2033  | 21578 | 20925 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 111154 | 107641 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 20595 | 18458 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 17071 | 15299 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 285418 | 251282 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 14284 | 12828 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 11181 | 10053 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 8229 | 7398 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 313818 | 281255 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 49408 | 44281 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 617614 | 540080 |
| Freddie Mac Gold Pool 3% 5/1/2052  | 3508311 | 3063503 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 21007 | 20482 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 7604 | 7416 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 4472 | 4357 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 36776 | 33179 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 13746 | 12345 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 5567 | 5003 |
| Freddie Mac Gold Pool 3% 6/1/2046  | 311105 | 278823 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 1007195 | 888309 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 1225251 | 1068756 |
| Freddie Mac Gold Pool 3% 7/1/2032  | 8996 | 8748 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 25449 | 22832 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 8925 | 8063 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 7105 | 6375 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 10317 | 10036 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 7051 | 6855 |
| Freddie Mac Gold Pool 3% 8/1/2042  | 5810 | 5327 |
| Freddie Mac Gold Pool 3% 8/1/2042  | 4457 | 4071 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 18253 | 16394 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 15159 | 13615 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 13536 | 12157 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 8384 | 7522 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 6582 | 5915 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 608336 | 531778 |
| Freddie Mac Gold Pool 3.5% 1/1/2043  | 6955 | 6481 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 18375 | 16990 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 4526 | 4189 |
| Freddie Mac Gold Pool 3.5% 10/1/2040  | 10773 | 10038 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 64324 | 60377 |
| Freddie Mac Gold Pool 3.5% 10/1/2049  | 1036308 | 949482 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 869087 | 850023 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 11491 | 11251 |
| Freddie Mac Gold Pool 3.5% 11/1/2040  | 22529 | 20992 |
| Freddie Mac Gold Pool 3.5% 11/1/2045  | 4996 | 4624 |
| Freddie Mac Gold Pool 3.5% 12/1/2033  | 96534 | 94364 |
| Freddie Mac Gold Pool 3.5% 12/1/2040  | 21907 | 20392 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 2586901 | 2529504 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 130455 | 127070 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 524382 | 491947 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 56190 | 52846 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 22803 | 21566 |
| Freddie Mac Gold Pool 3.5% 2/1/2045  | 3216 | 3008 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 134839 | 122541 |
| Freddie Mac Gold Pool 3.5% 3/1/2032  | 245365 | 240749 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 31637 | 29400 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 8010 | 7460 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 6011 | 5597 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 182115 | 165207 |
| Freddie Mac Gold Pool 3.5% 4/1/2033  | 2121350 | 2089237 |
| Freddie Mac Gold Pool 3.5% 4/1/2040  | 26706 | 25225 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 24422 | 22987 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 425921 | 399123 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 94473 | 88563 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 44121 | 41433 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 258447 | 239039 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 141513 | 130842 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 6766250 | 6102078 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  | 112383 | 109578 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 52639 | 49757 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 351919 | 326566 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 3675 | 3398 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 3169 | 2976 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 230191 | 213193 |
| Freddie Mac Gold Pool 3.5% 6/1/2032  | 1170936 | 1148306 |
| Freddie Mac Gold Pool 3.5% 6/1/2040  | 47772 | 45215 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 425981 | 395739 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 68087 | 63426 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 7019 | 6529 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 6887 | 6414 |
| Freddie Mac Gold Pool 3.5% 6/1/2048  | 6712 | 6157 |
| Freddie Mac Gold Pool 3.5% 7/1/2040  | 6874 | 6405 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 230810 | 216560 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 32205 | 30289 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 6995 | 6464 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  | 190039 | 185216 |
| Freddie Mac Gold Pool 3.5% 8/1/2040  | 31194 | 29066 |
| Freddie Mac Gold Pool 3.5% 8/1/2042  | 10032 | 9412 |
| Freddie Mac Gold Pool 3.5% 9/1/2040  | 23509 | 21758 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 745937 | 699439 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 293933 | 275460 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 3466 | 3249 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 97050 | 89823 |
| Freddie Mac Gold Pool 3.5% 9/1/2051  | 1852738 | 1681440 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 264493 | 256287 |
| Freddie Mac Gold Pool 4% 1/1/2043  | 3941 | 3786 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 9702 | 9297 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 5017 | 4838 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 3020 | 2940 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 2073 | 1992 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 25649 | 24633 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 10284 | 9855 |
| Freddie Mac Gold Pool 4% 10/1/2044  | 30579 | 29253 |
| Freddie Mac Gold Pool 4% 10/1/2047  | 22896 | 21766 |
| Freddie Mac Gold Pool 4% 10/1/2047  | 3888 | 3697 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 1162276 | 1094814 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 695114 | 672575 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 21496 | 20732 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 18467 | 17780 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 13374 | 12897 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 6728 | 6466 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 671 | 657 |
| Freddie Mac Gold Pool 4% 11/1/2043  | 116217 | 111824 |
| Freddie Mac Gold Pool 4% 11/1/2045  | 22604 | 21517 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 11248 | 10829 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 6101 | 5906 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 20046 | 19296 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 13218 | 12701 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 12853 | 12352 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 5684 | 5457 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 10392 | 9976 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 6321 | 6052 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 173993 | 166881 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 85866 | 81684 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 8783 | 8355 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 12697 | 12055 |
| Freddie Mac Gold Pool 4% 3/1/2043  | 6973 | 6745 |
| Freddie Mac Gold Pool 4% 3/1/2044  | 14003 | 13421 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 524657 | 506132 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 297140 | 287026 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 9208 | 8875 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 4021 | 3913 |
| Freddie Mac Gold Pool 4% 4/1/2046  | 60016 | 57224 |
| Freddie Mac Gold Pool 4% 4/1/2046  | 15283 | 14572 |
| Freddie Mac Gold Pool 4% 5/1/2037  | 715015 | 696691 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 11276 | 10829 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 3728 | 3576 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 418221 | 395776 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 284318 | 269938 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 10443 | 10104 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 7187 | 6898 |
| Freddie Mac Gold Pool 4% 6/1/2044  | 10262 | 9820 |
| Freddie Mac Gold Pool 4% 6/1/2045  | 10759 | 10302 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 201367 | 191685 |
| Freddie Mac Gold Pool 4% 6/1/2048  | 753064 | 716386 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 23686 | 22745 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 21433 | 20650 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 11773 | 11340 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 7664 | 7352 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 6754 | 6480 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 5859 | 5619 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 2585 | 2480 |
| Freddie Mac Gold Pool 4% 7/1/2048  | 113770 | 108442 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 13045 | 12524 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 10194 | 9861 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 8844 | 8554 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 11516 | 11035 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 2762 | 2663 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 21372 | 20680 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 13591 | 13174 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 20766 | 19982 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 18651 | 17918 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 15653 | 15022 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 15589 | 15007 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 13228 | 12686 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 10753 | 10346 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 4927 | 4722 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 2151 | 2076 |
| Freddie Mac Gold Pool 4% 9/1/2044  | 17957 | 17225 |
| Freddie Mac Gold Pool 4% 9/1/2044  | 13073 | 12506 |
| Freddie Mac Gold Pool 4% 9/1/2047  | 10417 | 9903 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 8202 | 8144 |
| Freddie Mac Gold Pool 4.5% 1/1/2042  | 330487 | 327663 |
| Freddie Mac Gold Pool 4.5% 1/1/2047  | 8109 | 7925 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  | 92105 | 91279 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  | 4549 | 4516 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 619941 | 606596 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 30475 | 29609 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 22812 | 22632 |
| Freddie Mac Gold Pool 4.5% 12/1/2045  | 24855 | 24673 |
| Freddie Mac Gold Pool 4.5% 12/1/2046  | 11002 | 10752 |
| Freddie Mac Gold Pool 4.5% 12/1/2047  | 177488 | 173057 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 15422 | 15291 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 15417 | 15283 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 11542 | 11427 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 11239 | 11149 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 9483 | 9412 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 6557 | 6494 |
| Freddie Mac Gold Pool 4.5% 2/1/2044  | 57772 | 57036 |
| Freddie Mac Gold Pool 4.5% 2/1/2047  | 40667 | 39740 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 63822 | 63281 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 14779 | 14654 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 10495 | 10400 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 58346 | 57492 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 51852 | 51199 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 34994 | 34481 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 21178 | 20868 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 102480 | 101583 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 15690 | 15532 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 15374 | 15231 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 82678 | 80562 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 32448 | 31618 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 31756 | 30944 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 49463 | 49120 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 16720 | 16561 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 16388 | 16222 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 1980 | 1963 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 101968 | 99614 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 76489 | 74723 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 33189 | 32422 |
| Freddie Mac Gold Pool 4.5% 5/1/2048  | 64724 | 63048 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 17563 | 17427 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 12738 | 12615 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 10890 | 10806 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 5207 | 5175 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 146512 | 143129 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 43810 | 42908 |
| Freddie Mac Gold Pool 4.5% 7/1/2025  | 7 | 7 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 79577 | 77963 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 61498 | 60078 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 34643 | 33930 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 2633 | 2612 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 30889 | 30617 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 2327 | 2308 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 241157 | 239003 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 42947 | 42577 |
| Freddie Mac Gold Pool 5% 1/1/2040  | 30272 | 30662 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 80131 | 79479 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 813843 | 809514 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 1905439 | 1889946 |
| Freddie Mac Gold Pool 5% 4/1/2040  | 57898 | 58651 |
| Freddie Mac Gold Pool 5% 5/1/2040  | 5594 | 5666 |
| Freddie Mac Gold Pool 5% 5/1/2052  | 381692 | 378738 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 20186 | 20448 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 98521 | 99805 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 479511 | 475799 |
| Freddie Mac Gold Pool 5% 7/1/2040  | 6655 | 6740 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 30378 | 30768 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 1566222 | 1589705 |
| Freddie Mac Gold Pool 5.5% 3/1/2053  | 2499490 | 2536185 |
| Freddie Mac Gold Pool 5.5% 3/1/2055  | 123908 | 123907 |
| Freddie Mac Gold Pool 5.5% 9/1/2052  | 1258290 | 1270078 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 1927006 | 1985266 |
| Freddie Mac Gold Pool 6% 4/1/2032  | 30766 | 31892 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 1020953 | 1051182 |
| Freddie Mac Gold Pool 6% 5/1/2033  | 10398 | 10742 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 1606087 | 1654644 |
| Freddie Mac Gold Pool 6% 7/1/2037  | 1720 | 1813 |
| Freddie Mac Gold Pool 6% 8/1/2037  | 17619 | 18538 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 415959 | 429185 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 186132 | 190945 |
| Freddie Mac Gold Pool 6.5% 1/1/2053  | 755558 | 783540 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 1288218 | 1345991 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 1240453 | 1302383 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 126746 | 132678 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 122505 | 127664 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 1475214 | 1549326 |
| Freddie Mac Gold Pool 7.5% 1/1/2027  | 46 | 46 |
| Freddie Mac Gold Pool 7.5% 10/1/2027  | 10 | 10 |
| Freddie Mac Gold Pool 7.5% 11/1/2029  | 617 | 645 |
| Freddie Mac Gold Pool 7.5% 11/1/2031  | 46 | 50 |
| Freddie Mac Gold Pool 7.5% 2/1/2028  | 30 | 31 |
| Freddie Mac Gold Pool 7.5% 8/1/2026  | 7 | 7 |
| Freddie Mac Gold Pool 7.5% 9/1/2031  | 1224 | 1297 |
| Freddie Mac Gold Pool 8% 4/1/2027  | 40 | 40 |
| Freddie Mac Gold Pool 8% 5/1/2027  | 18 | 19 |
| Freddie Mac Gold Pool 8.5% 1/1/2028  | 52 | 53 |
| Freddie Mac Gold Pool 8.5% 5/1/2027  | 11 | 11 |
| Freddie Mac Manufactured Housing participation certificates 6% 3/1/2055  | 451993 | 465093 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 6/1/2055  | 800339 | 841922 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.375%, 6.382% 3/1/2036 (c)(d) | 9191 | 9354 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.88% 4/1/2041 (c)(d) | 873 | 910 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 7.601% 9/1/2041 (c)(d) | 6730 | 6991 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.777% 5/1/2041 (c)(d) | 8633 | 9002 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.838% 5/1/2041 (c)(d) | 12664 | 13208 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.919% 6/1/2041 (c)(d) | 12129 | 12642 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 7.785% 6/1/2041 (c)(d) | 3476 | 3611 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.031%, 7.658% 3/1/2033 (c)(d) | 126 | 128 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.16%, 6.785% 11/1/2035 (c)(d) | 662 | 685 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.247%, 6.496% 1/1/2035 (c)(d) | 1001 | 1022 |
| Freddie Mac Non Gold Pool 5.5% 5/1/2053  | 1073114 | 1086521 |
| Freddie Mac Non Gold Pool 5.5% 6/1/2053  | 539185 | 544742 |
| Freddie Mac Non Gold Pool 5.5% 7/1/2053  | 4504392 | 4549406 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 1300911 | 1316757 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.655%, 6.303% 4/1/2035 (c)(d) | 8459 | 8605 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 3.645%, 8.27% 10/1/2035 (c)(d) | 147 | 154 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 563283 | 578905 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 520016 | 533463 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 479189 | 491730 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 435930 | 454969 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 679194 | 572453 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 571784 | 481924 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 503016 | 423963 |
| Ginnie Mae I Pool 3% 1/15/2045  | 5524 | 4949 |
| Ginnie Mae I Pool 3% 1/15/2045  | 5345 | 4794 |
| Ginnie Mae I Pool 3% 1/15/2045  | 1497 | 1340 |
| Ginnie Mae I Pool 3% 12/20/2042  | 616995 | 564365 |
| Ginnie Mae I Pool 3% 2/15/2045  | 5272 | 4730 |
| Ginnie Mae I Pool 3% 2/15/2045  | 4664 | 4180 |
| Ginnie Mae I Pool 3% 2/15/2045  | 2376 | 2131 |
| Ginnie Mae I Pool 3% 3/15/2045  | 10125 | 9071 |
| Ginnie Mae I Pool 3% 3/15/2045  | 6418 | 5744 |
| Ginnie Mae I Pool 3% 3/15/2045  | 6014 | 5406 |
| Ginnie Mae I Pool 3% 3/15/2045  | 4940 | 4427 |
| Ginnie Mae I Pool 3% 3/15/2045  | 4546 | 4093 |
| Ginnie Mae I Pool 3% 3/15/2045  | 2926 | 2615 |
| Ginnie Mae I Pool 3% 3/15/2045  | 2446 | 2207 |
| Ginnie Mae I Pool 3% 3/15/2045  | 2112 | 1900 |
| Ginnie Mae I Pool 3% 3/15/2045  | 1915 | 1713 |
| Ginnie Mae I Pool 3% 3/15/2045  | 1444 | 1293 |
| Ginnie Mae I Pool 3% 3/20/2043  | 406557 | 371927 |
| Ginnie Mae I Pool 3% 3/20/2043  | 169153 | 154863 |
| Ginnie Mae I Pool 3% 6/15/2045  | 3370 | 3044 |
| Ginnie Mae I Pool 3% 6/15/2045  | 2413 | 2158 |
| Ginnie Mae I Pool 3% 6/15/2045  | 1614 | 1444 |
| Ginnie Mae I Pool 3% 7/15/2045  | 6361 | 5691 |
| Ginnie Mae I Pool 3% 7/15/2045  | 6059 | 5434 |
| Ginnie Mae I Pool 3% 7/15/2045  | 5550 | 4965 |
| Ginnie Mae I Pool 3% 7/15/2045  | 5248 | 4695 |
| Ginnie Mae I Pool 3% 7/15/2045  | 4960 | 4431 |
| Ginnie Mae I Pool 3% 7/15/2045  | 4037 | 3611 |
| Ginnie Mae I Pool 3% 7/15/2045  | 3916 | 3503 |
| Ginnie Mae I Pool 3% 7/15/2045  | 3695 | 3305 |
| Ginnie Mae I Pool 3% 7/15/2045  | 1504 | 1345 |
| Ginnie Mae I Pool 3.5% 1/15/2041  | 28772 | 27080 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 187794 | 171319 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 95840 | 87672 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 93472 | 85505 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 53148 | 48602 |
| Ginnie Mae I Pool 3.5% 10/20/2052  | 342875 | 312714 |
| Ginnie Mae I Pool 3.5% 11/15/2042  | 106514 | 99488 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 23837 | 21812 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 10859 | 9913 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 8420 | 7708 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 2516 | 2297 |
| Ginnie Mae I Pool 3.5% 2/15/2041  | 51387 | 48157 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 46838 | 43796 |
| Ginnie Mae I Pool 3.5% 3/15/2043  | 50943 | 47336 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 117729 | 110266 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 82931 | 77652 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 33204 | 30998 |
| Ginnie Mae I Pool 3.5% 7/15/2043  | 74979 | 69601 |
| Ginnie Mae I Pool 3.5% 7/20/2052  | 1933763 | 1764867 |
| Ginnie Mae I Pool 3.5% 8/15/2042  | 58087 | 54329 |
| Ginnie Mae I Pool 3.5% 8/20/2052  | 1150668 | 1049449 |
| Ginnie Mae I Pool 3.5% 9/20/2052  | 4451471 | 4059895 |
| Ginnie Mae I Pool 4% 1/15/2042  | 2082 | 2009 |
| Ginnie Mae I Pool 4% 1/15/2043  | 9808 | 9437 |
| Ginnie Mae I Pool 4% 10/15/2040  | 12039 | 11642 |
| Ginnie Mae I Pool 4% 10/15/2041  | 102914 | 99209 |
| Ginnie Mae I Pool 4% 10/15/2041  | 92452 | 89232 |
| Ginnie Mae I Pool 4% 10/15/2041  | 80437 | 77515 |
| Ginnie Mae I Pool 4% 10/15/2041  | 50564 | 48829 |
| Ginnie Mae I Pool 4% 10/15/2041  | 23242 | 22473 |
| Ginnie Mae I Pool 4% 10/15/2041  | 15686 | 15132 |
| Ginnie Mae I Pool 4% 10/15/2041  | 12216 | 11797 |
| Ginnie Mae I Pool 4% 10/15/2041  | 11898 | 11490 |
| Ginnie Mae I Pool 4% 10/15/2041  | 9243 | 8934 |
| Ginnie Mae I Pool 4% 10/15/2041  | 6278 | 6057 |
| Ginnie Mae I Pool 4% 10/15/2041  | 4623 | 4456 |
| Ginnie Mae I Pool 4% 10/15/2041  | 4207 | 4050 |
| Ginnie Mae I Pool 4% 10/15/2041  | 1121 | 1083 |
| Ginnie Mae I Pool 4% 10/20/2052  | 3218865 | 3019376 |
| Ginnie Mae I Pool 4% 11/15/2040  | 29154 | 28119 |
| Ginnie Mae I Pool 4% 11/15/2040  | 5911 | 5709 |
| Ginnie Mae I Pool 4% 11/15/2040  | 2878 | 2777 |
| Ginnie Mae I Pool 4% 11/15/2041  | 32423 | 31288 |
| Ginnie Mae I Pool 4% 11/15/2042  | 2447 | 2355 |
| Ginnie Mae I Pool 4% 12/15/2041  | 45972 | 44325 |
| Ginnie Mae I Pool 4% 12/15/2041  | 25870 | 24943 |
| Ginnie Mae I Pool 4% 12/15/2041  | 15049 | 14530 |
| Ginnie Mae I Pool 4% 12/15/2041  | 10080 | 9715 |
| Ginnie Mae I Pool 4% 12/15/2041  | 5777 | 5590 |
| Ginnie Mae I Pool 4% 12/15/2041  | 1113 | 1074 |
| Ginnie Mae I Pool 4% 12/15/2042  | 2618 | 2523 |
| Ginnie Mae I Pool 4% 2/15/2041  | 5296 | 5119 |
| Ginnie Mae I Pool 4% 2/15/2042  | 3604 | 3476 |
| Ginnie Mae I Pool 4% 3/15/2040  | 38782 | 37584 |
| Ginnie Mae I Pool 4% 3/15/2041  | 3488 | 3372 |
| Ginnie Mae I Pool 4% 3/15/2042  | 16296 | 15704 |
| Ginnie Mae I Pool 4% 3/15/2042  | 5240 | 5043 |
| Ginnie Mae I Pool 4% 4/15/2042  | 6431 | 6194 |
| Ginnie Mae I Pool 4% 4/15/2043  | 1935 | 1868 |
| Ginnie Mae I Pool 4% 4/15/2046  | 436052 | 417701 |
| Ginnie Mae I Pool 4% 4/20/2047  | 163465 | 153832 |
| Ginnie Mae I Pool 4% 4/20/2047  | 160131 | 150695 |
| Ginnie Mae I Pool 4% 4/20/2048  | 133125 | 125239 |
| Ginnie Mae I Pool 4% 4/20/2048  | 126402 | 118914 |
| Ginnie Mae I Pool 4% 6/15/2041  | 4094 | 3952 |
| Ginnie Mae I Pool 4% 7/15/2040  | 14263 | 13810 |
| Ginnie Mae I Pool 4% 7/15/2041  | 8996 | 8682 |
| Ginnie Mae I Pool 4% 8/15/2041  | 135736 | 130963 |
| Ginnie Mae I Pool 4% 8/15/2041  | 13435 | 12967 |
| Ginnie Mae I Pool 4% 8/15/2043  | 2808 | 2693 |
| Ginnie Mae I Pool 4% 9/15/2040  | 6289 | 6081 |
| Ginnie Mae I Pool 4% 9/15/2041  | 14953 | 14427 |
| Ginnie Mae I Pool 4% 9/15/2041  | 12587 | 12151 |
| Ginnie Mae I Pool 4% 9/15/2041  | 11126 | 10755 |
| Ginnie Mae I Pool 4% 9/15/2041  | 2774 | 2674 |
| Ginnie Mae I Pool 4% 9/15/2041  | 1325 | 1284 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 11639 | 11514 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 1357 | 1342 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 223361 | 220595 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 175468 | 173513 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 58120 | 57479 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 2630 | 2601 |
| Ginnie Mae I Pool 4.5% 4/15/2041  | 23526 | 23248 |
| Ginnie Mae I Pool 4.5% 4/20/2053  | 4272805 | 4118198 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 3794 | 3755 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 33291 | 32924 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 22630 | 22388 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 16069 | 15895 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 42961 | 42493 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 20344 | 20121 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 14597 | 14432 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 2269 | 2241 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 40254 | 39838 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 14685 | 14523 |
| Ginnie Mae I Pool 5% 10/15/2039  | 11743 | 11871 |
| Ginnie Mae I Pool 5% 10/15/2039  | 4980 | 5034 |
| Ginnie Mae I Pool 5% 11/15/2040  | 10432 | 10546 |
| Ginnie Mae I Pool 5% 11/15/2040  | 4189 | 4235 |
| Ginnie Mae I Pool 5% 12/15/2039  | 14355 | 14512 |
| Ginnie Mae I Pool 5% 3/15/2039  | 6783 | 6856 |
| Ginnie Mae I Pool 5% 4/15/2040  | 1748 | 1767 |
| Ginnie Mae I Pool 5% 4/15/2041  | 5390 | 5449 |
| Ginnie Mae I Pool 5% 4/15/2041  | 3086 | 3120 |
| Ginnie Mae I Pool 5% 4/15/2041  | 2008 | 2030 |
| Ginnie Mae I Pool 5% 4/20/2048  | 354953 | 357592 |
| Ginnie Mae I Pool 5% 6/15/2040  | 7720 | 7804 |
| Ginnie Mae I Pool 5% 7/15/2040  | 12795 | 12935 |
| Ginnie Mae I Pool 5% 7/15/2040  | 9369 | 9471 |
| Ginnie Mae I Pool 5% 7/15/2040  | 7835 | 7920 |
| Ginnie Mae I Pool 5% 8/15/2039  | 11226 | 11348 |
| Ginnie Mae I Pool 5% 8/15/2039  | 915 | 925 |
| Ginnie Mae I Pool 5% 8/15/2040  | 22558 | 22804 |
| Ginnie Mae I Pool 5% 8/15/2040  | 18648 | 18852 |
| Ginnie Mae I Pool 5% 9/15/2039  | 8963 | 9060 |
| Ginnie Mae I Pool 5% 9/15/2040  | 13819 | 13970 |
| Ginnie Mae I Pool 5% 9/15/2040  | 8323 | 8414 |
| Ginnie Mae I Pool 6.5% 11/15/2035  | 2449 | 2557 |
| Ginnie Mae I Pool 6.5% 4/15/2035  | 3175 | 3308 |
| Ginnie Mae I Pool 6.5% 9/15/2035  | 7178 | 7462 |
| Ginnie Mae I Pool 7% 1/15/2028  | 457 | 462 |
| Ginnie Mae I Pool 7% 1/15/2028  | 21 | 20 |
| Ginnie Mae I Pool 7% 10/15/2028  | 81 | 82 |
| Ginnie Mae I Pool 7% 10/15/2031  | 1936 | 1996 |
| Ginnie Mae I Pool 7% 12/15/2028  | 134 | 136 |
| Ginnie Mae I Pool 7% 12/15/2030  | 3032 | 3124 |
| Ginnie Mae I Pool 7% 2/15/2028  | 1868 | 1890 |
| Ginnie Mae I Pool 7% 2/15/2028  | 30 | 30 |
| Ginnie Mae I Pool 7% 2/15/2032  | 6497 | 6709 |
| Ginnie Mae I Pool 7% 2/15/2032  | 197 | 204 |
| Ginnie Mae I Pool 7% 3/15/2028  | 126 | 127 |
| Ginnie Mae I Pool 7% 3/15/2029  | 883 | 900 |
| Ginnie Mae I Pool 7% 3/15/2032  | 3491 | 3593 |
| Ginnie Mae I Pool 7% 3/15/2032  | 2638 | 2724 |
| Ginnie Mae I Pool 7% 3/15/2032  | 28 | 29 |
| Ginnie Mae I Pool 7% 4/15/2028  | 279 | 282 |
| Ginnie Mae I Pool 7% 4/15/2028  | 14 | 13 |
| Ginnie Mae I Pool 7% 4/15/2029  | 753 | 767 |
| Ginnie Mae I Pool 7% 4/15/2029  | 387 | 394 |
| Ginnie Mae I Pool 7% 4/15/2031  | 521 | 533 |
| Ginnie Mae I Pool 7% 4/15/2032  | 9002 | 9331 |
| Ginnie Mae I Pool 7% 4/15/2032  | 995 | 1031 |
| Ginnie Mae I Pool 7% 4/15/2032  | 673 | 693 |
| Ginnie Mae I Pool 7% 4/15/2032  | 158 | 163 |
| Ginnie Mae I Pool 7% 5/15/2029  | 711 | 725 |
| Ginnie Mae I Pool 7% 5/15/2032  | 285 | 295 |
| Ginnie Mae I Pool 7% 6/15/2028  | 1277 | 1282 |
| Ginnie Mae I Pool 7% 6/15/2028  | 336 | 341 |
| Ginnie Mae I Pool 7% 6/15/2028  | 109 | 110 |
| Ginnie Mae I Pool 7% 6/15/2032  | 2634 | 2728 |
| Ginnie Mae I Pool 7% 6/15/2032  | 961 | 991 |
| Ginnie Mae I Pool 7% 6/15/2032  | 77 | 80 |
| Ginnie Mae I Pool 7% 6/15/2032  | 72 | 75 |
| Ginnie Mae I Pool 7% 7/15/2028  | 403 | 404 |
| Ginnie Mae I Pool 7% 7/15/2028  | 58 | 59 |
| Ginnie Mae I Pool 7% 7/15/2028  | 22 | 22 |
| Ginnie Mae I Pool 7% 7/15/2031  | 1445 | 1490 |
| Ginnie Mae I Pool 7% 7/15/2031  | 596 | 613 |
| Ginnie Mae I Pool 7% 7/15/2031  | 319 | 330 |
| Ginnie Mae I Pool 7% 7/15/2032  | 942 | 963 |
| Ginnie Mae I Pool 7% 7/15/2032  | 341 | 354 |
| Ginnie Mae I Pool 7% 8/15/2031  | 1220 | 1235 |
| Ginnie Mae I Pool 7% 8/15/2031  | 896 | 926 |
| Ginnie Mae I Pool 7% 8/15/2031  | 95 | 97 |
| Ginnie Mae I Pool 7% 9/15/2031  | 1111 | 1141 |
| Ginnie Mae I Pool 7% 9/15/2031  | 301 | 309 |
| Ginnie Mae I Pool 7% 9/15/2031  | 149 | 154 |
| Ginnie Mae I Pool 7.5% 1/15/2026  | 4 | 3 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 137 | 139 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 20 | 19 |
| Ginnie Mae I Pool 7.5% 10/15/2028  | 1777 | 1818 |
| Ginnie Mae I Pool 7.5% 11/15/2027  | 1 | 0 |
| Ginnie Mae I Pool 7.5% 12/15/2025  | 3 | 2 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 358 | 366 |
| Ginnie Mae I Pool 7.5% 2/15/2027  | 75 | 76 |
| Ginnie Mae I Pool 7.5% 3/15/2028  | 1160 | 1182 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 450 | 454 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 377 | 382 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 170 | 172 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 138 | 140 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 116 | 118 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 71 | 72 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 50 | 50 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 39 | 39 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 26 | 26 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 143 | 144 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 186 | 187 |
| Ginnie Mae I Pool 8% 3/15/2030  | 603 | 620 |
| Ginnie Mae I Pool 8% 5/15/2030  | 312 | 321 |
| Ginnie Mae I Pool 8% 9/15/2030  | 620 | 638 |
| Ginnie Mae II Pool 2% 1/20/2051  | 20991402 | 17114802 |
| Ginnie Mae II Pool 2% 10/20/2050  | 4990977 | 4070825 |
| Ginnie Mae II Pool 2% 11/20/2050  | 2226347 | 1815195 |
| Ginnie Mae II Pool 2% 12/20/2050  | 4150783 | 3384234 |
| Ginnie Mae II Pool 2% 2/20/2051  | 4607850 | 3756892 |
| Ginnie Mae II Pool 2% 9/20/2050  | 3396600 | 2771454 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 74445 | 63304 |
| Ginnie Mae II Pool 2.5% 2/20/2052  | 10089408 | 8584175 |
| Ginnie Mae II Pool 2.5% 5/20/2052  | 14244066 | 12119002 |
| Ginnie Mae II Pool 2.5% 6/20/2051  | 834440 | 710081 |
| Ginnie Mae II Pool 2.5% 6/20/2054  | 434374 | 369672 |
| Ginnie Mae II Pool 2.5% 7/20/2051  | 1960378 | 1666992 |
| Ginnie Mae II Pool 2.5% 9/20/2051  | 1985843 | 1688646 |
| Ginnie Mae II Pool 3% 1/20/2032  | 644315 | 626733 |
| Ginnie Mae II Pool 3% 10/20/2031  | 213389 | 207675 |
| Ginnie Mae II Pool 3% 11/20/2031  | 226060 | 219949 |
| Ginnie Mae II Pool 3% 12/20/2031  | 345764 | 336417 |
| Ginnie Mae II Pool 3% 12/20/2046  | 309076 | 276745 |
| Ginnie Mae II Pool 3% 2/20/2031  | 27695 | 27022 |
| Ginnie Mae II Pool 3% 3/20/2031  | 56466 | 55076 |
| Ginnie Mae II Pool 3% 3/20/2046  | 53192 | 47678 |
| Ginnie Mae II Pool 3% 3/20/2050  | 431882 | 382925 |
| Ginnie Mae II Pool 3% 4/20/2031  | 209378 | 204167 |
| Ginnie Mae II Pool 3% 4/20/2047  | 17407 | 15576 |
| Ginnie Mae II Pool 3% 4/20/2052  | 2649736 | 2342953 |
| Ginnie Mae II Pool 3% 5/20/2031  | 443752 | 432583 |
| Ginnie Mae II Pool 3% 5/20/2052  | 7624997 | 6742184 |
| Ginnie Mae II Pool 3% 7/1/2055 (e) | 8600000 | 7599469 |
| Ginnie Mae II Pool 3% 7/20/2031  | 5793 | 5642 |
| Ginnie Mae II Pool 3% 8/20/2031  | 67781 | 66020 |
| Ginnie Mae II Pool 3% 9/20/2031  | 27468 | 26747 |
| Ginnie Mae II Pool 3.5% 12/20/2040  | 51199 | 47982 |
| Ginnie Mae II Pool 3.5% 7/1/2055 (e) | 11775000 | 10688733 |
| Ginnie Mae II Pool 3.5% 8/1/2055 (e) | 1525000 | 1380384 |
| Ginnie Mae II Pool 4% 1/20/2041  | 169205 | 163307 |
| Ginnie Mae II Pool 4% 1/20/2042  | 577328 | 556063 |
| Ginnie Mae II Pool 4% 1/20/2046  | 2264 | 2146 |
| Ginnie Mae II Pool 4% 10/20/2040  | 82344 | 79493 |
| Ginnie Mae II Pool 4% 10/20/2045  | 2026 | 1924 |
| Ginnie Mae II Pool 4% 11/20/2040  | 332965 | 321398 |
| Ginnie Mae II Pool 4% 12/20/2045  | 2723 | 2587 |
| Ginnie Mae II Pool 4% 12/20/2054  | 7211071 | 6702194 |
| Ginnie Mae II Pool 4% 2/20/2041  | 5499 | 5306 |
| Ginnie Mae II Pool 4% 3/20/2047  | 86568 | 81846 |
| Ginnie Mae II Pool 4% 4/20/2047  | 311004 | 293843 |
| Ginnie Mae II Pool 4% 5/20/2046  | 483956 | 458916 |
| Ginnie Mae II Pool 4% 6/20/2045  | 55129 | 52656 |
| Ginnie Mae II Pool 4% 7/20/2044  | 2836 | 2714 |
| Ginnie Mae II Pool 4% 8/20/2043  | 20460 | 19641 |
| Ginnie Mae II Pool 4% 8/20/2045  | 398171 | 378192 |
| Ginnie Mae II Pool 4% 9/20/2040  | 129971 | 125465 |
| Ginnie Mae II Pool 4% 9/20/2045  | 1918 | 1821 |
| Ginnie Mae II Pool 4.5% 11/20/2054  | 1871317 | 1792055 |
| Ginnie Mae II Pool 4.5% 3/20/2041  | 7469 | 7393 |
| Ginnie Mae II Pool 4.5% 5/20/2040  | 50089 | 49600 |
| Ginnie Mae II Pool 4.5% 5/20/2041  | 14577 | 14427 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 38146 | 37767 |
| Ginnie Mae II Pool 4.5% 7/20/2054  | 878497 | 841287 |
| Ginnie Mae II Pool 4.5% 9/20/2040  | 173507 | 171769 |
| Ginnie Mae II Pool 5% 12/20/2054  | 720828 | 708841 |
| Ginnie Mae II Pool 5% 5/20/2055  | 7699997 | 7563535 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 592874 | 593806 |
| Ginnie Mae II Pool 5.5% 7/1/2055 (e) | 12000000 | 12011921 |
| Ginnie Mae II Pool 5.5% 8/1/2055 (e) | 5850000 | 5851241 |
| Ginnie Mae II Pool 6% 1/20/2055  | 983115 | 997588 |
| Ginnie Mae II Pool 6% 12/20/2054  | 2059519 | 2089838 |
| Ginnie Mae II Pool 6% 7/1/2055 (e) | 25600000 | 25958461 |
| Ginnie Mae II Pool 6% 8/1/2055 (e) | 22375000 | 22662957 |
| Ginnie Mae II Pool 6.5% 5/20/2055  | 3649968 | 3750588 |
| Ginnie Mae II Pool 6.5% 7/1/2055 (e) | 7100000 | 7288217 |
| Ginnie Mae II Pool 6.5% 8/1/2055 (e) | 2600000 | 2663237 |
| Uniform Mortgage Backed Securities 2% 7/1/2055 (e) | 43825000 | 34676522 |
| Uniform Mortgage Backed Securities 2% 8/1/2055 (e) | 21800000 | 17258611 |
| Uniform Mortgage Backed Securities 2.5% 7/1/2055 (e) | 8600000 | 7129598 |
| Uniform Mortgage Backed Securities 2.5% 8/1/2055 (e) | 5600000 | 4644279 |
| Uniform Mortgage Backed Securities 3.5% 7/1/2055 (e) | 1375000 | 1237554 |
| Uniform Mortgage Backed Securities 3.5% 8/1/2055 (e) | 850000 | 764934 |
| Uniform Mortgage Backed Securities 4.5% 7/1/2055 (e) | 2625000 | 2509951 |
| Uniform Mortgage Backed Securities 6% 7/1/2055 (e) | 19550000 | 19865402 |
| Uniform Mortgage Backed Securities 6% 8/1/2055 (e) | 10700000 | 10864265 |
| Uniform Mortgage Backed Securities 6.5% 7/1/2055 (e) | 8600000 | 8876813 |
| Uniform Mortgage Backed Securities 6.5% 8/1/2055 (e) | 7000000 | 7215470 |
| TOTAL UNITED STATES |  | 656826204 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $669,539,502) |  | <br> **656826204** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 45.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 45.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 45.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 45.4%** |
|  | Yield (%) (g) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 1.125% 5/15/2040  | 1.02 | 12353900 | 7680651 |
| US Treasury Bonds 1.75% 8/15/2041  | 1.94 | 43542800 | 28908337 |
| US Treasury Bonds 1.875% 11/15/2051  | 1.95 to 2.04 | 13856800 | 7708927 |
| US Treasury Bonds 2% 11/15/2041  | 2.00 to 2.14 | 16500000 | 11347617 |
| US Treasury Bonds 2% 8/15/2051  | 1.86 to 1.94 | 32104200 | 18508824 |
| US Treasury Bonds 2.25% 2/15/2052  | 2.26 to 2.90 | 36300000 | 22172777 |
| US Treasury Bonds 2.875% 5/15/2052  | 3.07 to 3.19 | 23300000 | 16397375 |
| US Treasury Bonds 3.375% 8/15/2042  | 3.46 to 3.75 | 34200000 | 28705289 |
| US Treasury Bonds 3.625% 5/15/2053  | 3.90 to 4.02 | 26100000 | 21287813 |
| US Treasury Bonds 4.125% 8/15/2053  | 4.18 to 5.00 | 53171000 | 47494580 |
| US Treasury Bonds 4.25% 2/15/2054  | 4.37 to 4.78 | 67700000 | 61755094 |
| US Treasury Bonds 4.25% 8/15/2054  | 3.96 to 4.65 | 41100000 | 37532648 |
| US Treasury Bonds 4.625% 2/15/2055  | 4.60 | 5000000 | 4865643 |
| US Treasury Bonds 4.625% 5/15/2054  | 4.49 to 4.65 | 12830000 | 12461138 |
| US Treasury Bonds 4.75% 5/15/2055  | 4.82 to 4.98 | 34951000 | 34754401 |
| US Treasury Notes 2.375% 3/31/2029  | 2.67 | 10000000 | 9528125 |
| US Treasury Notes 3.375% 5/15/2033  | 3.64 to 4.04 | 67451000 | 64297139 |
| US Treasury Notes 3.5% 2/15/2033  | 3.92 | 63000000 | 60731016 |
| US Treasury Notes 3.75% 6/30/2030  | 3.91 to 4.12 | 64800000 | 64635469 |
| US Treasury Notes 3.875% 11/30/2029  | 3.65 to 3.86 | 123000000 | 123542930 |
| US Treasury Notes 3.875% 12/31/2029  | 3.47 | 85000000 | 85361914 |
| US Treasury Notes 3.875% 8/15/2033  | 4.02 to 4.77 | 36190000 | 35638668 |
| US Treasury Notes 3.875% 8/15/2034  | 3.64 to 4.27 | 128800000 | 125745380 |
| US Treasury Notes 4% 1/31/2029  | 4.30 | 28000000 | 28252656 |
| US Treasury Notes 4% 1/31/2031  | 4.13 | 39100000 | 39376449 |
| US Treasury Notes 4% 4/30/2032  | 4.26 to 4.27 | 65800000 | 65882250 |
| US Treasury Notes 4% 6/30/2032  | 3.98 | 4600000 | 4603594 |
| US Treasury Notes 4.125% 11/15/2032  | 3.59 | 38824000 | 39092431 |
| US Treasury Notes 4.125% 2/29/2032  | 4.15 to 4.23 | 70000000 | 70639843 |
| US Treasury Notes 4.125% 5/31/2032  | 4.05 | 593000 | 597920 |
| US Treasury Notes 4.125% 8/31/2030  | 4.61 | 24900000 | 25259883 |
| US Treasury Notes 4.25% 11/15/2034  | 4.44 | 7500000 | 7524609 |
| US Treasury Notes 4.25% 5/15/2035  | 4.48 to 4.49 | 25000000 | 25039063 |
| US Treasury Notes 4.375% 1/31/2032  | 4.41 | 16400000 | 16788859 |
| US Treasury Notes 4.375% 11/30/2030  | 4.27 to 4.35 | 88200000 | 90480798 |
| US Treasury Notes 4.625% 2/15/2035  | 4.17 to 4.24 | 47300000 | 48797972 |
| US Treasury Notes 4.875% 10/31/2030  | 4.91 | 22600000 | 23723820 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $1,495,569,340) |  |  | **1417121902** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 3.8%** | &nbsp;&nbsp;**Money Market Funds - 3.8%** | &nbsp;&nbsp;**Money Market Funds - 3.8%** | &nbsp;&nbsp;**Money Market Funds - 3.8%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (h)<br>(Cost $118,603,248)<br>| 4.32 | 118579925 | **118603641** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 106.3%**<br> (Cost $3,435,754,915)<br>| <br>**3315760309** |
| **NET OTHER ASSETS (LIABILITIES) - (6.3)%**  | **(196732901)** |
| **NET ASSETS - 100.0%** | **3119027408** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 3.5% 7/1/2055 | (11775000) | (10688733) |
| Ginnie Mae II Pool 5.5% 7/1/2055 | (5850000) | (5855810) |
| Ginnie Mae II Pool 6% 7/1/2055 | (22375000) | (22688304) |
| Ginnie Mae II Pool 6.5% 7/1/2055 | (7100000) | (7288217) |
| Uniform Mortgage Backed Securities 2% 7/1/2055 | (22800000) | (18040496) |
| Uniform Mortgage Backed Securities 2.5% 7/1/2055 | (6700000) | (5554454) |
| Uniform Mortgage Backed Securities 3.5% 7/1/2055 | (1750000) | (1575069) |
| Uniform Mortgage Backed Securities 6% 7/1/2055 | (13900000) | (14124250) |
| Uniform Mortgage Backed Securities 6.5% 7/1/2055 | (8600000) | (8876813) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (94692146) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $94,053,087) |  | <br> **(94692146)** |

---

**Legend**

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $458,648,570 or 14.7% of net assets.

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

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

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

(f) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(g) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

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

**Affiliated Central Funds**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 36534283 | 255161983 | 173092624 | 1353086 | - | (1) | 118603641 | 118579925 | 0.2% |
| Fidelity Securities Lending Cash Central Fund | 7141810 | 124356334 | 131498144 | 2631 | - | - | - | - | 0.0% |
| Total | 43676093 | 379518317 | 304590768 | 1355717 | - | (1) | 118603641 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

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

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of June 30, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 248156371 | - | 248156371 | - |
|  **Bank Notes** |  |  |  |  |
| Financials | 3315853 | - | 3315853 | - |
|  **Collateralized Mortgage Obligations** | 9807 | - | 9807 | - |
|  **Commercial Mortgage Securities** | 118966509 | - | 118966509 | - |
|  **Foreign Government and Government Agency Obligations** | 1476151 | - | 1476151 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 63449123 | - | 63449123 | - |
| Consumer Discretionary | 10456994 | - | 10456994 | - |
| Consumer Staples | 28137710 | - | 28137710 | - |
| Energy | 81456717 | - | 81456717 | - |
| Financials | 390193769 | - | 390193769 | - |
| Health Care | 34933452 | - | 34933452 | - |
| Industrials | 19871048 | - | 19871048 | - |
| Information Technology | 24161827 | - | 24161827 | - |
| Materials | 3790802 | - | 3790802 | - |
| Real Estate | 68043422 | - | 68043422 | - |
| Utilities | 26789007 | - | 26789007 | - |
|  **U.S. Government Agency - Mortgage Securities** | 656826204 | - | 656826204 | - |
|  **U.S. Treasury Obligations** | 1417121902 | - | 1417121902 | - |
|  **Money Market Funds** | 118603641 | 118603641 | - | - |
| **Total Investments in Securities:** | 3315760309 | 118603641 | 3197156668 | - |
|  **<u>Other Financial Instruments:</u>** |  |  |  |  |
|  **TBA Sale Commitments** | (94692146) | - | (94692146) | - |
| **Total Other Financial Instruments:** | (94692146) | - | (94692146) | - |

---

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of June 30, 2025 (Unaudited)** | <br> **As of June 30, 2025 (Unaudited)** | <br> **As of June 30, 2025 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $3,317,151,667) | $3197156668 |  |
| Fidelity Central Funds (cost $118,603,248) | 118603641 |  |
| Total Investment in Securities (cost $3,435,754,915) |  | $3315760309 |
| Cash |  | 31172 |
| Foreign currency held at value (cost $2) |  | 2 |
| Receivable for investments sold |  | 7016657 |
| Receivable for TBA sale commitments |  | 94053087 |
| Receivable for fund shares sold |  | 4910781 |
| Interest receivable |  | 27416305 |
| Distributions receivable from Fidelity Central Funds |  | 459226 |
| Other receivables |  | 7056 |
| **Total assets** |  | 3449654595 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $22736288 |  |
| Delayed delivery | 213174356 |  |
| TBA sale commitments, at value | 94692146 |  |
| Payable for fund shares redeemed | 23180 |  |
| Distributions payable | 137 |  |
| Other payables and accrued expenses | 1080 |  |
| **Total liabilities** |  | 330627187 |
| **Net Assets**  |  | $3119027408 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $3392903578 |
| Total accumulated earnings (loss) |  | (273876170) |
| **Net Assets** |  | $3119027408 |
| **Net Asset Value**, offering price and redemption price per share ($3,119,027,408 ÷ 33,360,227 shares) |  | $93.50 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| **Six months ended June 30, 2025 (Unaudited)** | **Six months ended June 30, 2025 (Unaudited)** | **Six months ended June 30, 2025 (Unaudited)** |
| **Investment Income** |  |  |
| Interest  |  | $64728634 |
| Income from Fidelity Central Funds (including $2,631 from security lending)  |  | 1355717 |
| **Total income** |  | 66084351 |
| **Expenses** |  |  |
| Custodian fees and expenses | $3235 |  |
| Independent trustees' fees and expenses | 3781 |  |
| Total expenses before reductions | 7016 |  |
| Expense reductions | (5272) |  |
| Total expenses after reductions |  | 1744 |
| **Net Investment income (loss)** |  | 66082607 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (15906635) |  |
| Total net realized gain (loss) |  | (15906635) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 80894932 |  |
| Fidelity Central Funds  | (1) |  |
| TBA sale commitments | (725908) |  |
| Total change in net unrealized appreciation (depreciation) |  | 80169023 |
| **Net gain (loss)** |  | 64262388 |
| **Net increase (decrease) in net assets resulting from operations** |  | $130344995 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **June 30, 2025**<br> **(Unaudited)** | **Year ended**<br> **December 31, 2024** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $66082607 | $128401332 |
| &nbsp;&nbsp;Net realized gain (loss) | (15906635)<br>| (30155778)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 80169023 | (39161363)<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 130344995<br>| 59084191<br>|
| Distributions to shareholders | (63968758)<br>| (125649885)<br>|
|  Affiliated share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 180196249 | 148208210 |
| Reinvestment of distributions | 63968697<br>| 126302464<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (122105758) | (174129028) |
| **Net increase (decrease) in net assets resulting from share transactions** | 122059188<br>| 100381646<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 188435425<br>| 33815952<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 2930591983 | 2896776031<br>|
| &nbsp;&nbsp;End of period | $3119027408 | $2930591983 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 1953846 | 1618586 |
| Issued in reinvestment of distributions | 688246<br>| 1365447<br>|
| &nbsp;&nbsp;Redeemed | (1316586) | (1862421) |
| &nbsp;&nbsp;Net increase (decrease) | 1325506 | 1121612 |

---

**Financial Highlights** 

**VIP Investment Grade Central Fund** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **June 30, 2025**<br> **(Unaudited)**  | **Years ended December 31, 2024**  | **2023**  | **2022**  | **2021**  | **2020**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $91.48 | $93.71 | $91.75 | $109.19 | $114.93 | $108.80 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | 2.052  | 4.025  | 3.608  | 2.711  | 2.481  | 3.026  |
| Net realized and unrealized gain (loss)  | 1.955  | (2.296)  | 1.882  | (16.386)  | (2.817)  | 7.583  |
| Total from investment operations  | 4.007  | 1.729  | 5.490  | (13.675)  | (.336)  | 10.609  |
| Distributions from net investment income  | (1.987)  | (3.959)  | (3.530)  | (2.765)  | (2.717)  | (3.070)  |
| Distributions from net realized gain  | -  | -  | -  | (1.000)  | (2.687)  | (1.409)  |
| Total distributions  | (1.987)  | (3.959)  | (3.530)  | (3.765)  | (5.404)  | (4.479)  |
| Net asset value, end of period  | $93.50 | $91.48 | $93.71 | $91.75 | $109.19 | $114.93 |
| **Total Return** C,D | 4.41% <br>| 1.88%  | 6.13%  | (12.69)%  | (.28)%  | 9.87%  |
| **Ratios to Average Net Assets** B,E,F |  |  |  |  |  |  |
| Expenses before reductions G | -% H | -%  | -%  | -%  | -%  | -%  |
| Expenses net of fee waivers, if any G | -% H<br>| -%  | -%  | -%  | -%  | -%  |
| Expenses net of all reductions, if any G | -% H | -%  | -%  | -%  | -%  | -%  |
| Net investment income (loss)  | 4.48% H | 4.35%  | 3.93%  | 2.79%  | 2.23%  | 2.68%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $3119027 | $2930592 | $2896776 | $2458557 | $2404652 | $7119394 |
| Portfolio turnover rate I | 119% H<br>| 196%  | 205%  | 188%  | 178% J | 169%  |

---

A*Calculated based on average shares outstanding during the period.*

B*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

C*Total returns for periods of less than one year are not annualized.*

D*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

E*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

F*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

G*Amount represents less than $.0005 per share.*

H*Annualized.*

I*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

J*Portfolio turnover rate excludes securities received or delivered in-kind.*

**Notes to Financial Statements** **(Unaudited)**

For the period ended June 30, 2025

**1. Organization.**

Fidelity VIP Investment Grade Central Fund (the Fund) is a fund of Fidelity Garrison Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares of the Fund are only offered to other investment companies and accounts managed by Fidelity Management & Research Company LLC (FMR), or its affiliates (the Investing Funds). The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

**2. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**3. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

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

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

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

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

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

Valuation techniques used to value the Fund's investments by major category are as follows:

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of June 30, 2025 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to market discount, capital loss carryforwards and losses deferred due to wash sales.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

---

| | |
|:---|:---|
| **Gross unrealized appreciation** | $29629338 |
| **Gross unrealized depreciation** | <u>(143972672)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$(114343334)</u> |
| **Tax cost** | <u>$3429464584</u> |

---

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term | $(38447660) |
| Long-term | <u>(106416706)</u> |
| **Total capital loss carryforward** | <u>$(144864366)</u> |

---

**Delayed Delivery Transactions and When-Issued Securities.** During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

**To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls.** TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The value of these commitments and proceeds to be received at contractual settlement date are reflected in the Statement of Assets and Liabilities as "TBA sale commitments, at value" and "Receivable for TBA sale commitments," respectively. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, a fund realizes a gain or loss. If a fund delivers securities under the commitment, a fund realizes a gain or loss from the sale of the securities based upon the price established at the date the commitment was entered into.

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**New Accounting Pronouncement.** 

In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**4. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity VIP Investment Grade Central Fund** | 752234970 | 669952448 |

---

**5. Fees and Other Transactions with Affiliates.**

**Management Fee and Expense Contract.** Fidelity Management & Research Company LLC (the investment adviser) provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's expense contract, the investment adviser also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**6. Security Lending.** 

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, the borrowers provide collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the fair value of the loaned securities during the period of the loan. The fair value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned or gaining access to non-cash collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral less rebates paid to borrowers, plus any premium income received, or for non-cash collateral, fees received from borrowers as compensation for the securities loaned. Securities lending income is reduced by any lending agent fees associated with the loan. Any security lending income earned on investing cash collateral is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Any security lending income earned on non-cash collateral is presented in the Statement of Operations as a component of interest. Affiliated security lending activity, if any, was as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** | **Security Lending Income From Securities Loaned to NFS ($)** | **Value of Securities Loaned to NFS at Period End ($)** |
| **Fidelity VIP Investment Grade Central Fund** | 276 | - | - |

---

**7. Expense Reductions.** 

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $5,272.

**8. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

At the end of the period, mutual funds managed by FMR or its affiliates were the owners of record of all of the outstanding shares as shown below.

---

| | |
|:---|:---|
| **Fund**  | **Ownership %** |
| VIP Asset Manager 50% Portfolio | 9.2% |
| VIP Asset Manager 70% Portfolio  | 1.6% |
| VIP Balanced Portfolio  | 89.2% |

---

**9. Credit Risk.** 

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

**10. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

![](img110946_4.jpg)<br>

1.831205.119 VIGC-SANN-0825

Item 8.

<u>Changes in and Disagreements with Accountants for Open-End Management Investment Companies</u>

See Item 7.

Item 9.

<u>Proxy Disclosures for Open-End Management Investment Companies</u>

See Item 7.

Item 10.

<u>Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies</u>

See Item 7.

Item 11.

<u>Statement Regarding Basis for Approval of Investment Advisory Contract</u>

See Item 7.

Item 12.

<u>Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies</u>

Not applicable.

Item 13.

<u>Portfolio Managers of Closed-End Management Investment Companies</u>

Not applicable.

Item 14.

<u>Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers</u>

Not applicable.

Item 15.

<u>Submission of Matters to a Vote of Security Holders</u>

There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Garrison Street Trust's Board of Trustees.

Item 16.

<u>Controls and Procedures</u>

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Garrison Street Trust's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 17.

<u>Disclosure of Securities Lending Activities for Closed-End Management Investment Companies</u>

Not applicable.

Item 18.

<u>Recovery of Erroneously Awarded Compensation</u>

(a) Not applicable.

(b) Not applicable.

Item 19.

<u>Exhibits</u>

(a) (1) Not applicable.

(a) (2) [Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.](ex99cert.htm)

(a) (3) Not applicable.

(b) [Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.](ex99906cert.htm)

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Garrison Street Trust

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Laura M. Del Prato</u> |
|  | &nbsp;&nbsp; Laura M. Del Prato |
|  | &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; August 22, 2025 |

---

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Laura M. Del Prato</u> |
|  | &nbsp;&nbsp; Laura M. Del Prato |
|  | &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; August 22, 2025 |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Stephanie Caron</u> |
|  | &nbsp;&nbsp; Stephanie Caron |
|  | &nbsp;&nbsp; Chief Financial Officer (Principal Financial Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; August 22, 2025 |

---

## Ex-99.Cert

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<u>Exhibit EX-99.CERT</u>

I, Laura M. Del Prato, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Garrison Street Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:

August 22, 2025

---

| |
|:---|
| &nbsp;&nbsp;<u>/s/Laura M. Del Prato</u> |
| &nbsp;&nbsp;Laura M. Del Prato |
| &nbsp;&nbsp;President and Treasurer (Principal Executive Officer) |

---

I, Stephanie Caron, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Garrison Street Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:

August 22, 2025

---

| |
|:---|
| &nbsp;&nbsp;<u>/s/Stephanie Caron</u> |
| &nbsp;&nbsp;Stephanie Caron |
| &nbsp;&nbsp;Chief Financial Officer (Principal Financial Officer) |

---

## Exhibit 99.906

<u>Exhibit EX-99.906CERT</u>

**Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)**

In connection with the attached Report of Fidelity Garrison Street Trust (the "Trust") on Form N-CSR to be filed with the Securities and Exchange Commission (the "Report"), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer's knowledge:

&nbsp;&nbsp;&nbsp;&nbsp;1. The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.

Dated: August 22, 2025

---

| |
|:---|
| &nbsp;&nbsp;<u>/s/Laura M. Del Prato</u> |
| &nbsp;&nbsp;Laura M. Del Prato |
| &nbsp;&nbsp;President and Treasurer (Principal Executive Officer) |

---

Dated: August 22, 2025

---

| |
|:---|
| &nbsp;&nbsp;<u>/s/Stephanie Caron</u> |
| &nbsp;&nbsp;Stephanie Caron |
| &nbsp;&nbsp;Chief Financial Officer (Principal Financial Officer) |

---

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.

<br>