# EDGAR Filing Document

**Accession Number:** 0000751199
**File Stem:** 0000035402-25-001375
**Filing Date:** 2025-10
**Character Count:** 86324
**Document Hash:** d8628ab41d304ffb3de6ee9ede2fab9b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-25-001375.hdr.sgml**: 20251028

**ACCESSION NUMBER**: 0000035402-25-001375

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251028

**DATE AS OF CHANGE**: 20251028

**PERIOD START**: 20250831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY INCOME FUND /MA/
- **CENTRAL INDEX KEY:** 0000751199

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04085
- **FILM NUMBER:** 251424415

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY MORTGAGE SECURITIES FUND
- **DATE OF NAME CHANGE:** 19851103

## Series and Classes Contracts Data

### Fidelity Intermediate Government Income Fund (Series ID: S000007070)

| Class ID   | Class Name                                   | Ticker Symbol   |
|:---|:---|:---|
| C000019284 | Fidelity Intermediate Government Income Fund | FSTGX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Income Fund

- **b. Investment Company Act file number:** 811-04085

- **c. CIK number of Registrant:** 0000751199

- **d. LEI of Registrant:** D66RCKM57LC8ELZCAY58

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

- **a. Name of Series:** Fidelity Intermediate Government Income Fund

- **b. EDGAR series identifier (if any):** S000007070

- **c. LEI of Series:** G2GUNF34BXXVYK2PAF03

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

- **a. Date of fiscal year-end:** 2025-08-31

- **b. Date as of which information is reported:** 2025-08-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $538177263.94

**Total Liabilities:** $47637920.43

**Net Assets:** $490539343.51

**Delayed Delivery Securities:** $24788360.87

**Cash Not Reported:** $261457.35

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1699.84004642 | **1-Year:** 40449.63492422 | **5-Year:** 70984.49314913 | **10-Year:** 21732.06899274 | **30-Year:** 5849.69894215

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000019284 | 0.96%                | -0.26%               | 1.07%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $16680.25                | $2532334.48                                |
| Month 2  | $58070.48                | $-2044746.60                               |
| Month 3  | $59453.36                | $3370101.65                                |

**Designated Index Information**

- **Index Name:** Bloomberg US Intermediate Government Bond Index

- **Index Identifier:** 19808149

### Schedule of Portfolio Investments

| Name                                                   | Title                                                                        | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+125 10/25/2054                        | CUSIP: 3137HJQ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    555277 | PA      | $556559.31    | 0.11%             | 2054-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2019-K735 A2 2.862% 05/25/2026                | CUSIP: 3137FMU67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1048728 | PA      | $1038658.42   | 0.21%             | 2026-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.995% 12/25/2025                             | CUSIP: 3137BN6G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1804743 | PA      | $1795108.59   | 0.37%             | 2025-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 03/15/2027                                                   | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7250000 | PA      | $7306923.81   | 1.49%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                            | UNITED STATES TREASURY BOND 4.625% 02/15/2055                                | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    320000 | PA      | $305000.00    | 0.06%             | 2055-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 5% 09/01/2055 #TBA                                                   | CUSIP: 21H050698<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -3100000 | PA      | $-3066926.72  | -0.63%            | 2055-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 1.5% 01/31/2027                                                    | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5049000 | PA      | $4893782.68   | 1.00%             | 2027-01-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                | FHLM 30YR 6% 09/01/2053#RA9856                                               | CUSIP: 3133KR5R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43630 | PA      | $44969.28     | 0.01%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                  | LCH OIS SOFRV3.75% MAC 09/17/45                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -3179000 | NC      | $-23232.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.375% 11/30/2028                                                  | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6350000 | PA      | $6499324.19   | 1.32%             | 2028-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                               | CUSIP: 3137H5J57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     83643 | PA      | $75356.63     | 0.02%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.875% 11/30/2025                                                  | CUSIP: 9128285N6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6513000 | PA      | $6492494.21   | 1.32%             | 2025-11-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 20YR 2.5% 11/01/2041#SC0210                                             | CUSIP: 3132D9GT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1192761 | PA      | $1067742.63   | 0.22%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                 | US 10YR NOTE FUT (CBT)DEC25 TYZ5                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       650 | NC      | $413019.75    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 6% 06/01/2055#CC0577                                               | CUSIP: 3140Y6UB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393770 | PA      | $409704.93    | 0.08%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.525% 05/25/2026                             | CUSIP: 3137BQYS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1931035 | PA      | $1908273.87   | 0.39%             | 2026-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 2.55% 09/25/2046                              | CUSIP: 3136AWGE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1250259 | PA      | $1155326.77   | 0.24%             | 2046-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 15YR 3% 02/01/2033#SB0621                                               | CUSIP: 3132CWVN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14163 | PA      | $13871.95     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                  | BOAM SWAP PAY 4.065 05/02/30                                                 | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   5120000 | NC      | $177922.25    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                        | CUSIP: 3137HJEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    475372 | PA      | $475927.50    | 0.10%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 20YR 2.5% 05/01/2042#RB0806                                             | CUSIP: 3133KT3P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17545 | PA      | $15663.52     | 0.00%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.625% 03/15/2026                                                  | CUSIP: 91282CGR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    620000 | PA      | $622199.06    | 0.13%             | 2026-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4% 01/31/2031                                                      | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $708312.50    | 0.14%             | 2031-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 06/30/2029                                                   | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3960000 | PA      | $4047340.57   | 0.83%             | 2029-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.875% 03/31/2027                                                  | CUSIP: 91282CMV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6410000 | PA      | $6426525.75   | 1.31%             | 2027-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.347% 11/25/2026                             | CUSIP: 3137BTUM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12943858 | PA      | $12787798.00  | 2.61%             | 2026-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.625% 11/15/2026                                                  | CUSIP: 91282CJK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12958000 | PA      | $13079987.39  | 2.67%             | 2026-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 15YR 3% 02/01/2035#                                                     | CUSIP: 3140XC4X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20163 | PA      | $19748.68     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 6% 07/01/2053#FS5067                                               | CUSIP: 3140XLTZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    556703 | PA      | $576231.09    | 0.12%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.875% 01/15/2026                                                  | CUSIP: 91282CGE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1680000 | PA      | $1678405.31   | 0.34%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.625% 09/30/2030                                                  | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11400000 | PA      | $11874703.07  | 2.42%             | 2030-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.375% 11/30/2030                                                  | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2016000 | PA      | $2076873.74   | 0.42%             | 2030-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 15YR 3% 02/01/2031#FS1234                                               | CUSIP: 3140XGLQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50850 | PA      | $49885.00     | 0.01%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.875% 10/31/2030                                                  | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12410000 | PA      | $13073159.38  | 2.67%             | 2030-10-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                  | BOAM SWAP REC 4.01 05/07/30                                                  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2200000 | NC      | $74561.12     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.875% 12/31/2027                                                  | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1800000 | PA      | $1810870.02   | 0.37%             | 2027-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 02/28/2031                                                   | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4250000 | PA      | $4352431.63   | 0.89%             | 2031-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5159 GC 2% 11/25/2047 | CUSIP: 3137H3SE3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     84298 | PA      | $74233.32     | 0.02%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                   | UMBS 30YR 6% 09/01/2055 #TBA                                                 | CUSIP: 01F060691<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4350000 | PA      | $4444476.78   | 0.91%             | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA GTD MTG PASS THRU CTF SOFR30A+120 06/25/2054                            | CUSIP: 3136BUGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    683595 | PA      | $684861.67    | 0.14%             | 2054-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                            | UNITED STATES TREASURY BOND 4.625% 11/15/2044                                | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3560000 | PA      | $3453478.11   | 0.70%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+105 04/25/2055                        | CUSIP: 3137HKUC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   1295948 | PA      | $1293073.02   | 0.26%             | 2055-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                         | CITI SWAP REC 4.146 07/30/30                                                 | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4330000 | NC      | $157083.26    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.75% 08/15/2032                                                   | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13693000 | PA      | $12713629.54  | 2.59%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.243% 04/25/2027                             | CUSIP: 3137F1G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2200000 | PA      | $2171354.24   | 0.44%             | 2027-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                  | LCH OIS SOFRV3.75% MAC 09/17/29                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -10365000 | NC      | $-97071.30    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.151% 11/25/2025                             | CUSIP: 3137BMTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2678119 | PA      | $2667196.68   | 0.54%             | 2025-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                 | US 5YR NOTE (CBT) FUT DEC25 FVZ5                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        64 | NC      | $34005.76     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA GTD MTG PASS THRU CTF SOFR30A+140 02/25/2055                            | CUSIP: 3136BUWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    554429 | PA      | $556665.31    | 0.11%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                         | CITI SWAP PAY 4.146 07/30/30                                                 | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4330000 | NC      | $149756.51    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 11/30/2031                                                  | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3110000 | PA      | $3156164.06   | 0.64%             | 2031-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 30YR 6% 12/01/2052#RA8306                                               | CUSIP: 3133KQGP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367401 | PA      | $380288.85    | 0.08%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 03/31/2031                                                  | CUSIP: 91282CKF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3670000 | PA      | $3734798.44   | 0.76%             | 2031-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4% 07/31/2030                                                      | CUSIP: 91282CHR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2560000 | PA      | $2593699.99   | 0.53%             | 2030-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 6.5% 03/01/2054#CB8113                                             | CUSIP: 3140QUAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131793 | PA      | $136913.64    | 0.03%             | 2054-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 5.5% 12/20/2054#MB0092                                               | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195600 | PA      | $197142.02    | 0.04%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.75% 05/31/2029                                                   | CUSIP: 91282CES6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2897000 | PA      | $2809184.69   | 0.57%             | 2029-05-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 5175 CB 2.5% 04/25/2050                       | CUSIP: 3137H4N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    535835 | PA      | $470050.91    | 0.10%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.5% 02/28/2026                                                    | CUSIP: 9128286F2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9441000 | PA      | $9369528.70   | 1.91%             | 2026-02-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 15YR 3% 12/01/2032#BM5109                                               | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79202 | PA      | $77385.38     | 0.02%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 1.25% 12/31/2026                                                   | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3278000 | PA      | $3171849.15   | 0.65%             | 2026-12-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.375% 05/15/2033                                                  | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    290000 | PA      | $277958.20    | 0.06%             | 2033-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                  | LCH OIS SOFRV3.75% MAC 09/17/27                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -10030000 | NC      | $-46759.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 15YR 3% 12/01/2030#ZS8591                                               | CUSIP: 3132A9RL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15321 | PA      | $14998.26     | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 5.5% 06/01/2053#CB6642                                             | CUSIP: 3140QSLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94559 | PA      | $96466.88     | 0.02%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 15YR 3% 11/01/2034#FS1799                                               | CUSIP: 3140XG7M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29363 | PA      | $28745.30     | 0.01%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.875% 04/30/2029                                                  | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $584812.50    | 0.12%             | 2029-04-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 03/31/2032                                                  | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $4053906.24   | 0.83%             | 2032-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 1.336% 09/25/2027                             | CUSIP: 3137F64P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6006417 | PA      | $5731187.12   | 1.17%             | 2027-09-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 21-66 DM 2% 01/25/2048                        | CUSIP: 3136BG6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    112121 | PA      | $93877.66     | 0.02%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.282% 07/25/2026                             | CUSIP: 3137FNWX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    889601 | PA      | $875655.57    | 0.18%             | 2026-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 6.5% 01/01/2055#CB9828                                             | CUSIP: 3140QV4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186839 | PA      | $196871.84    | 0.04%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.75% 08/25/2044                              | CUSIP: 3137H7FZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    362185 | PA      | $352298.44    | 0.07%             | 2044-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 5% 11/01/2052#FS3295                                               | CUSIP: 3140XJUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123066 | PA      | $122744.15    | 0.03%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.75% 06/30/2030                                                   | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14430000 | PA      | $14468893.32  | 2.95%             | 2030-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 3% 05/25/2044                                 | CUSIP: 3136BL6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    558952 | PA      | $534071.79    | 0.11%             | 2044-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                 | GSCM SWAP REC 3.9025 04/14/26                                                | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   3360000 | NC      | $104459.81    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                 | GSCM SWAP PAY 3.9025 04/14/26                                                | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   3360000 | NC      | $52229.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.875% 05/31/2027                                                  | CUSIP: 91282CNE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5200000 | PA      | $5217468.78   | 1.06%             | 2027-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 2022-7 A 3% 05/25/2048                        | CUSIP: 3136BLRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    207898 | PA      | $191703.31    | 0.04%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.5% 01/31/2028                                                    | CUSIP: 91282CGH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1920000 | PA      | $1915575.00   | 0.39%             | 2028-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.75% 04/30/2027                                                   | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3240000 | PA      | $3243417.20   | 0.66%             | 2027-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 15YR 2% 02/01/2028#FS3865                                               | CUSIP: 3140XKJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52693 | PA      | $51549.10     | 0.01%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.375% 12/15/2026                                                  | CUSIP: 91282CJP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    760000 | PA      | $765581.25    | 0.16%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 20YR 3% 09/01/2041#FM9587                                               | CUSIP: 3140XDUM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403323 | PA      | $368695.86    | 0.08%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.625% 03/31/2030                                                  | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4740000 | PA      | $4729631.25   | 0.96%             | 2030-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 2.5% 12/01/2051#CB2320                                             | CUSIP: 3140QMSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    556751 | PA      | $469833.76    | 0.10%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                  | LCH OIS SOFRV3.75% MAC 09/17/28                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -30039000 | NC      | $-267500.60   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 5330 FA SOFR30A+105 08/25/2053                | CUSIP: 3137HAFW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   1526405 | PA      | $1524900.82   | 0.31%             | 2053-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                   | UMBS 30YR 6% 10/01/2055 #TBA                                                 | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1350000 | PA      | $1378160.19   | 0.28%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 5425 FK SOFR30A+120 06/25/2054                | CUSIP: 3137HCYX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   1108573 | PA      | $1111448.33   | 0.23%             | 2054-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4% 10/31/2029                                                      | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6300000 | PA      | $6385148.41   | 1.30%             | 2029-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                 | US 2YR NOTE (CBT) FUT DEC25 TUZ5                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       279 | NC      | $108505.19    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 2% 03/20/2052#                                                       | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118547 | PA      | $97123.60     | 0.02%             | 2052-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.5% 02/15/2033                                                    | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    730000 | PA      | $707586.72    | 0.14%             | 2033-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.375% 05/15/2034                                                  | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    670000 | PA      | $683085.94    | 0.14%             | 2034-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                        | CUSIP: 3137HJYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    947647 | PA      | $948712.37    | 0.19%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.43% 01/25/2027                              | CUSIP: 3137BVZ82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $495248.85    | 0.10%             | 2027-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 0.75% 08/31/2026                                                   | CUSIP: 91282CCW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6494000 | PA      | $6297962.38   | 1.28%             | 2026-08-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 6% 03/01/2054#CB8112                                               | CUSIP: 3140QUAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46936 | PA      | $48098.45     | 0.01%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.875% 08/15/2034                                                  | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4680000 | PA      | $4588593.98   | 0.94%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.625% 05/15/2026                                                  | CUSIP: 91282CHB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2030000 | PA      | $2025622.81   | 0.41%             | 2026-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 6% 06/01/2053#CB6539                                               | CUSIP: 3140QSHR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247943 | PA      | $256485.59    | 0.05%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 1.25% 09/30/2028                                                   | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    580000 | PA      | $540668.75    | 0.11%             | 2028-09-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+145 11/25/2053                        | CUSIP: 3136BQRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    790190 | PA      | $796951.78    | 0.16%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 2022-1 KA 3% 05/25/2048                       | CUSIP: 3136BLMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    146964 | PA      | $135467.05    | 0.03%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 6% 09/01/2055 #TBA                                                   | CUSIP: 21H060697<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12400000 | PA      | $12647415.96  | 2.58%             | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2024-K523 AS TSFR1M+55 05/25/2029             | CUSIP: 3137HDJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2298240 | PA      | $2296706.70   | 0.47%             | 2029-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                               | CUSIP: 3137H5UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    110942 | PA      | $97307.49     | 0.02%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+120 02/25/2055                        | CUSIP: 3137HJZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    273016 | PA      | $272337.80    | 0.06%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 1.875% 02/28/2027                                                  | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5600000 | PA      | $5450593.74   | 1.11%             | 2027-02-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 30YR 6.5% 10/01/2053#RJ0002                                             | CUSIP: 3142GQAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    302958 | PA      | $317403.14    | 0.06%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 15YR 3.5% 01/01/2034#G18720                                             | CUSIP: 3128MMYS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194060 | PA      | $191221.45    | 0.04%             | 2034-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 1.125% 08/31/2028                                                  | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  53595000 | PA      | $49868472.66  | 10.17%            | 2028-08-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                   | UMBS 30YR 6% 09/01/2055 #TBA                                                 | CUSIP: 01F060691<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -2700000 | PA      | $-2758640.76  | -0.56%            | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040                                 | CUSIP: 3137FXBN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    186561 | PA      | $169019.15    | 0.03%             | 2040-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 5191 CA 2.5% 04/25/2050                       | CUSIP: 3137H5MS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    123732 | PA      | $106815.34    | 0.02%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.75% 02/15/2045                                                   | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4790000 | PA      | $4718898.44   | 0.96%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 12/31/2025                                                   | CUSIP: 91282CJS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1030000 | PA      | $1030301.76   | 0.21%             | 2025-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.653% 08/25/2026                             | CUSIP: 3137BSP72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2462470.50   | 0.50%             | 2026-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT K737 A2 2.525% 10/25/2026                     | CUSIP: 3137FQXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8200000 | PA      | $8059854.62   | 1.64%             | 2026-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 2% 01/20/2051#MA7135                                                 | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    563813 | PA      | $461836.05    | 0.09%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 0.25% 10/31/2025                                                   | CUSIP: 91282CAT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    840000 | PA      | $834569.53    | 0.17%             | 2025-10-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 21-85 L 2.5% 08/25/2048                       | CUSIP: 3136BKJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     92369 | PA      | $81950.28     | 0.02%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 01/15/2028                                                   | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12080000 | PA      | $12255065.66  | 2.50%             | 2028-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                   | UMBS 30YR 2.5% 09/01/2055 #TBA                                               | CUSIP: 01F022691<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -1200000 | PA      | $-996234.36   | -0.20%            | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4% 07/31/2029                                                      | CUSIP: 91282CLC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $202653.60    | 0.04%             | 2029-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 20YR 2% 11/01/2041#CB2110                                               | CUSIP: 3140QMKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337830 | PA      | $291255.24    | 0.06%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.625% 09/30/2028                                                  | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10550000 | PA      | $10865263.65  | 2.21%             | 2028-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 6% 06/01/2053#CB6538                                               | CUSIP: 3140QSHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322343 | PA      | $333649.60    | 0.07%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                         | GNMA II 2.5% 09/20/2051#785616                                               | CUSIP: 3622ABDV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    347489 | PA      | $293481.76    | 0.06%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 5% 09/01/2055 #TBA                                                   | CUSIP: 21H050698<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3100000 | PA      | $3066926.72   | 0.63%             | 2055-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                           | Fidelity Cash Central Fund                                                   | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  30907078 | NS      | $30913259.63  | 6.30%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.57% 07/25/2026                              | CUSIP: 3137BRQJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1841313 | PA      | $1816130.45   | 0.37%             | 2026-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 30YR 2% 11/01/2050#SD8106                                               | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52440 | PA      | $42074.02     | 0.01%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                            | USTN TII 2.375% 02/15/2055                                                   | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    750000 | PA      | $725626.18    | 0.15%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FHMS K059 A2 CSTR 09/25/2026                                                 | CUSIP: 3137BSRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $494500.50    | 0.10%             | 2026-09-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 10/31/2026                                                  | CUSIP: 91282CLS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $30096093.60  | 6.14%             | 2026-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4% 06/30/2028                                                      | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8620000 | PA      | $8716301.61   | 1.78%             | 2028-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 20YR 3% 10/01/2040#FM7397                                               | CUSIP: 3140XBGF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1098618 | PA      | $1017686.23   | 0.21%             | 2040-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                         | GNMA II 2.5% 08/20/2051#785575                                               | CUSIP: 3622ABCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    394185 | PA      | $332919.48    | 0.07%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.5% 09/25/2051                               | CUSIP: 3137H6XY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    621399 | PA      | $603901.25    | 0.12%             | 2051-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                               | CUSIP: 3137H5F77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    110260 | PA      | $99240.55     | 0.02%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.875% 03/15/2028                                                  | CUSIP: 91282CMS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3500000 | PA      | $3524882.83   | 0.72%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.5% 11/15/2025                                                    | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2400000 | PA      | $2401068.74   | 0.49%             | 2025-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA GTD MTG PASS THRU CTF SOFR30A+115 02/25/2055                            | CUSIP: 3136BUWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    312304 | PA      | $312661.97    | 0.06%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 20YR 2.5% 02/01/2042#SC0248                                             | CUSIP: 3132D9HZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    226527 | PA      | $202659.43    | 0.04%             | 2042-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                               | CUSIP: 3137H5KC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    370093 | PA      | $335485.44    | 0.07%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 05/31/2032                                                  | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1600000 | PA      | $1620169.76   | 0.33%             | 2032-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 6% 11/01/2053#FS6498                                               | CUSIP: 3140XNGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169534 | PA      | $174323.29    | 0.04%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                  | BOAM SWAP REC 4.065 05/02/30                                                 | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   5120000 | NC      | $179299.17    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 6% 10/01/2055 #TBA                                                   | CUSIP: 21H0606A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1800000 | PA      | $1834227.54   | 0.37%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 11/15/2034                                                   | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2016000 | PA      | $2029230.00   | 0.41%             | 2034-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 6% 09/01/2055 #TBA                                                   | CUSIP: 21H060697<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -12250000 | PA      | $-12494423.03 | -2.55%            | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                         | GNMA II 2.5% 12/20/2051#785792                                               | CUSIP: 3622ABKD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    466185 | PA      | $393729.37    | 0.08%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 30YR 5.5% 09/01/2052#SD1579                                             | CUSIP: 3132DNXG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217685 | PA      | $221192.95    | 0.05%             | 2052-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 21-66 DA 2% 01/25/2048                        | CUSIP: 3136BG6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    105504 | PA      | $88337.64     | 0.02%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 02/15/2027                                                  | CUSIP: 91282CKA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20080000 | PA      | $20185890.68  | 4.12%             | 2027-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 20YR 2.5% 05/01/2041#SC0237                                             | CUSIP: 3132D9HN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    483482 | PA      | $435486.80    | 0.09%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 21-96 HA 2.5% 02/25/2050                      | CUSIP: 3136BKWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    147107 | PA      | $128298.04    | 0.03%             | 2050-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4% 01/15/2027                                                      | CUSIP: 91282CJT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4740000 | PA      | $4754627.36   | 0.97%             | 2027-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                  | BOAM SWAP PAY 4.01 05/07/30                                                  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2200000 | NC      | $78770.89     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 08/31/2030                                                  | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3770000 | PA      | $3840834.76   | 0.78%             | 2030-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.5% 04/25/2052                               | CUSIP: 3137H6RW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    237444 | PA      | $227365.68    | 0.05%             | 2052-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.75% 07/31/2027                                                   | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2880000 | PA      | $2832412.49   | 0.58%             | 2027-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 2.5% 12/25/2049                               | CUSIP: 3136BLGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    214937 | PA      | $186072.18    | 0.04%             | 2049-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 15YR 3% 07/01/2034#FM8940                                               | CUSIP: 3140XC5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58735 | PA      | $57572.92     | 0.01%             | 2034-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 1.5% 06/25/2051                               | CUSIP: 3137H1B70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    430119 | PA      | $359246.35    | 0.07%             | 2051-06-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.3% 10/25/2026                               | CUSIP: 3137BTAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4100000 | PA      | $4057031.59   | 0.83%             | 2026-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 20YR 2.5% 05/01/2042#RB0710                                             | CUSIP: 3133KTYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37817 | PA      | $33728.24     | 0.01%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.875% 05/15/2032                                                  | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2646000 | PA      | $2485379.54   | 0.51%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 5180 KA 2.5% 10/25/2047                       | CUSIP: 3137H5BG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    105313 | PA      | $94857.82     | 0.02%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.208% 02/25/2026                             | CUSIP: 3137FLN34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    724981 | PA      | $721289.35    | 0.15%             | 2026-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.625% 07/31/2029                                                  | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    410000 | PA      | $395041.40    | 0.08%             | 2029-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047                                 | CUSIP: 3136BLES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1141190 | PA      | $1008567.05   | 0.21%             | 2047-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 2022-4 B 2.5% 05/25/2049                      | CUSIP: 3136BLYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    105863 | PA      | $93078.85     | 0.02%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 06/30/2031                                                   | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4920000 | PA      | $5033582.82   | 1.03%             | 2031-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                 | US LONG BOND(CBT) FUT DEC25 USZ5                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         7 | NC      | $6193.95      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.5% 09/30/2029                                                    | CUSIP: 91282CLN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7540000 | PA      | $7499649.24   | 1.53%             | 2029-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 30YR 6.5% 10/01/2053#RJ0001                                             | CUSIP: 3142GQAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    304194 | PA      | $318888.34    | 0.07%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.875% 10/31/2028                                                  | CUSIP: 91282CJF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    258000 | PA      | $267745.55    | 0.05%             | 2028-10-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 2% 09/20/2050#MA6864                                                 | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96893 | PA      | $79398.40     | 0.02%             | 2050-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 0.375% 12/31/2025                                                  | CUSIP: 91282CBC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4210000 | PA      | $4158772.85   | 0.85%             | 2025-12-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.673% 03/25/2026                             | CUSIP: 3137BPW21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2077192 | PA      | $2057679.21   | 0.42%             | 2026-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 5% 10/01/2055 #TBA                                                   | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1550000 | PA      | $1532252.35   | 0.31%             | 2055-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                | FHLM 30YR 6.5% 01/01/2055#RJ3308                                             | CUSIP: 3142GTVA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356100 | PA      | $373190.75    | 0.08%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.125% 11/15/2028                                                  | CUSIP: 9128285M8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8510000 | PA      | $8388666.04   | 1.71%             | 2028-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA GTD MTG PASS THRU CTF 2025-7 DF SOFR30A+140 09/25/2054                  | CUSIP: 3136BUWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    562870 | PA      | $564915.93    | 0.12%             | 2054-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.5% 01/25/2051                               | CUSIP: 3137H77F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    309552 | PA      | $295375.28    | 0.06%             | 2051-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.308% 09/25/2025                             | CUSIP: 3137BM7C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    638140 | PA      | $636169.07    | 0.13%             | 2025-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA GTD MTG PASS THRU CTF SOFR30A+ 09/25/2054                               | CUSIP: 3136BUW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    359455 | PA      | $359857.62    | 0.07%             | 2054-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.875% 08/15/2033                                                  | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1350000 | PA      | $1335867.19   | 0.27%             | 2033-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 15YR 3% 09/01/2035#FS0112                                               | CUSIP: 3140XFDS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126184 | PA      | $123289.81    | 0.03%             | 2035-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-30

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer